On degenerate backward SPDEs in bounded domains under non-local conditions
The paper studies backward stochastic partial differential equations (BSPDEs) of parabolic type in bounded domains in the setting where the coercivity condition is not necessary satisfied and under special non-local in time and space boundary conditions replacing the standard Cauchy condition. These...
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| Format: | Journal Article |
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2018
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| Online Access: | http://hdl.handle.net/20.500.11937/69100 |
| _version_ | 1848761967706112000 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The paper studies backward stochastic partial differential equations (BSPDEs) of parabolic type in bounded domains in the setting where the coercivity condition is not necessary satisfied and under special non-local in time and space boundary conditions replacing the standard Cauchy condition. These conditions connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability, and regularity results are obtained. As an example of applications, it is shown that degenerate BSPDEs with non-local boundary conditions arise naturally in modelling of portfolio selection problems, including models where dividend payoffs and management fees are taken into account. |
| first_indexed | 2025-11-14T10:40:05Z |
| format | Journal Article |
| id | curtin-20.500.11937-69100 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:40:05Z |
| publishDate | 2018 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-691002018-07-12T01:57:00Z On degenerate backward SPDEs in bounded domains under non-local conditions Dokuchaev, Nikolai The paper studies backward stochastic partial differential equations (BSPDEs) of parabolic type in bounded domains in the setting where the coercivity condition is not necessary satisfied and under special non-local in time and space boundary conditions replacing the standard Cauchy condition. These conditions connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability, and regularity results are obtained. As an example of applications, it is shown that degenerate BSPDEs with non-local boundary conditions arise naturally in modelling of portfolio selection problems, including models where dividend payoffs and management fees are taken into account. 2018 Journal Article http://hdl.handle.net/20.500.11937/69100 10.1080/17442508.2018.1480024 restricted |
| spellingShingle | Dokuchaev, Nikolai On degenerate backward SPDEs in bounded domains under non-local conditions |
| title | On degenerate backward SPDEs in bounded domains under non-local conditions |
| title_full | On degenerate backward SPDEs in bounded domains under non-local conditions |
| title_fullStr | On degenerate backward SPDEs in bounded domains under non-local conditions |
| title_full_unstemmed | On degenerate backward SPDEs in bounded domains under non-local conditions |
| title_short | On degenerate backward SPDEs in bounded domains under non-local conditions |
| title_sort | on degenerate backward spdes in bounded domains under non-local conditions |
| url | http://hdl.handle.net/20.500.11937/69100 |