On forward and backward SPDEs with non-local boundary conditions
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T13:44:57Z | |
| dc.date.available | 2017-01-30T13:44:57Z | |
| dc.date.created | 2015-05-22T08:32:22Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Dokuchaev, N. 2015. On forward and backward SPDEs with non-local boundary conditions. Discrete and Continuous Dynamical Systems. 35 (11): pp. 5335-5351. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/34666 | |
| dc.identifier.doi | 10.3934/dcds.2015.35.5335 | |
| dc.description.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. | |
| dc.publisher | American Institute of Mathematical Sciences | |
| dc.subject | backward SPDEs | |
| dc.subject | portfolio selection | |
| dc.subject | periodic conditions | |
| dc.subject | non-local conditions | |
| dc.subject | SPDEs | |
| dc.title | On forward and backward SPDEs with non-local boundary conditions | |
| dc.type | Journal Article | |
| dcterms.source.volume | 35 | |
| dcterms.source.number | 11 | |
| dcterms.source.startPage | 5335 | |
| dcterms.source.endPage | 5351 | |
| dcterms.source.issn | 10780947 | |
| dcterms.source.title | Discrete and Continuous Dynamical Systems Series A (DCDS-A) | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |