Degenerate backward SPDEs in bounded domains and applications to barrier options
Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied. Generalized solutions based on the representation theorem are suggested. Some regularity is derived from the regularity of th...
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| Format: | Journal Article |
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American Institute of Mathematical Sciences
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/38914 |