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    On forward and backward SPDEs with non-local boundary conditions

    226552_156273_DCDSnonloc2015my.pdf (330.0Kb)
    Access Status
    Open access
    Authors
    Dokuchaev, Nikolai
    Date
    2015
    Type
    Journal Article
    
    Metadata
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    Citation
    Dokuchaev, N. 2015. On forward and backward SPDEs with non-local boundary conditions. Discrete and Continuous Dynamical Systems. 35 (11): pp. 5335-5351.
    Source Title
    Discrete and Continuous Dynamical Systems Series A (DCDS-A)
    DOI
    10.3934/dcds.2015.35.5335
    ISSN
    10780947
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/34666
    Collection
    • Curtin Research Publications
    Abstract

    We study linear stochastic partial differential equations of parabolic type with non-local in time or mixed in time boundary conditions. The standard Cauchy condition at the terminal time is replaced by a condition that mixes the random values of the solution at different times, including the terminal time, initial time and continuously distributed times. For the case of backward equations, this setting covers almost surely periodicity. Uniqueness, solvability and regularity results for the solutions are obtained. Some possible applications to portfolio selection are discussed.

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