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November  2015, 35(11): 5285-5315. doi: 10.3934/dcds.2015.35.5285

Backward doubly stochastic differential equations with polynomial growth coefficients

Qi Zhang 1, and  Huaizhong Zhao 2,

1. 

School of Mathematical Sciences, Fudan University, Shanghai 200433
2. 

Department of Mathematical Sciences, Loughborough University, Loughborough, LE11 3TU, United Kingdom

Received  October 2013 Revised  October 2014 Published  May 2015

In this paper we study the solvability of backward doubly stochastic differential equations (BDSDEs for short) with polynomial growth coefficients and their connections with SPDEs. The corresponding SPDE is in a very general form, which may depend on the derivative of the solution. We use Wiener-Sobolev compactness arguments to derive a strongly convergent subsequence of approximating SPDEs. For this, we prove some new estimates to the solution and its Malliavin derivative of the corresponding approximating BDSDEs. These estimates lead to the verifications of the conditions in the Wiener-Sobolev compactness theorem and the solvability of the BDSDEs and the SPDEs with polynomial growth coefficients.
Keywords: SPDEs, Backward doubly stochastic differential equations, polynomial growth coefficients, Malliavin derivative, Wiener-Sobolev compactness..
Mathematics Subject Classification: Primary: 60H15, 60H10; Secondary: 37H1.
Citation: Qi Zhang, Huaizhong Zhao. Backward doubly stochastic differential equations with polynomial growth coefficients. Discrete & Continuous Dynamical Systems, 2015, 35 (11) : 5285-5315. doi: 10.3934/dcds.2015.35.5285
References:
[1]

V. Bally and B. Saussereau, A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear stochastic PDEs, J. Funct. Anal., 210 (2004), 465-515. doi: 10.1016/S0022-1236(03)00236-2.  Google Scholar

[2]

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S. Peszat, On a Sobolev space of functions of infinite number of variables, Bull. Polish Acad. Sci. Math., 41 (1993), 55-60.  Google Scholar

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Q. Zhang and H. Z. Zhao, Stationary solutions of SPDEs and infinite horizon BDSDEs, J. Funct. Anal., 252 (2007), 171-219. doi: 10.1016/j.jfa.2007.06.019.  Google Scholar

[9]

Q. Zhang and H. Z. Zhao, Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients, J. Differ. Equations, 248 (2010), 953-991. doi: 10.1016/j.jde.2009.12.013.  Google Scholar

[10]

Q. Zhang and H. Z. Zhao, Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients, J. Theor. Probab., 25 (2012), 396-423. doi: 10.1007/s10959-011-0350-y.  Google Scholar

[11]

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show all references

References:
[1]

V. Bally and B. Saussereau, A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear stochastic PDEs, J. Funct. Anal., 210 (2004), 465-515. doi: 10.1016/S0022-1236(03)00236-2.  Google Scholar

[2]

G. Da Prato, P. Malliavin and D. Nualart, Compact families of Wiener functionals, C. R. Acad. Sci. Paris Ser. I Math., 315 (1992), 1287-1291.  Google Scholar

[3]

C. R. Feng and H. Z. Zhao, Random periodic solutions of SPDEs via integral equations and Wiener-Sobolev compact embedding, J. Funct. Anal., 262 (2012), 4377-4422. doi: 10.1016/j.jfa.2012.02.024.  Google Scholar

[4]

D. Nualart, The Malliavin Calculus and Related Topics, Springer-Verlag, New York, 1995. doi: 10.1007/978-1-4757-2437-0.  Google Scholar

[5]

E. Pardoux, BSDE's weak convergence and homogenization of semilinear PDE's, in Nonlinear Analysis, Differential Equations and Control (eds. F. Clarke and R. Stern), Kluwer Acad. Publi., 528, Dordrecht, 1999, 503-549.  Google Scholar

[6]

E. Pardoux and S. Peng, Backward doubly stochastic differential equations and systems of quasilinear SPDEs, Probab. Theory Rel., 98 (1994), 209-227. doi: 10.1007/BF01192514.  Google Scholar

[7]

S. Peszat, On a Sobolev space of functions of infinite number of variables, Bull. Polish Acad. Sci. Math., 41 (1993), 55-60.  Google Scholar

[8]

Q. Zhang and H. Z. Zhao, Stationary solutions of SPDEs and infinite horizon BDSDEs, J. Funct. Anal., 252 (2007), 171-219. doi: 10.1016/j.jfa.2007.06.019.  Google Scholar

[9]

Q. Zhang and H. Z. Zhao, Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients, J. Differ. Equations, 248 (2010), 953-991. doi: 10.1016/j.jde.2009.12.013.  Google Scholar

[10]

Q. Zhang and H. Z. Zhao, Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients, J. Theor. Probab., 25 (2012), 396-423. doi: 10.1007/s10959-011-0350-y.  Google Scholar

[11]

Q. Zhang and H. Z. Zhao, SPDEs with polynomial growth coefficients and Malliavin calculus method, Stoch. Proc. Appl., 123 (2013), 2228-2271. doi: 10.1016/j.spa.2013.02.004.  Google Scholar

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