On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces

• Tang, Shanjian ^[1] ; Wei, Wenning ^[1]
  1. [1] Fudan University

     Fudan University

     China

     
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 44, Nº. 1, 2016, págs. 360-398
• Idioma: inglés
• DOI: 10.1214/14-AOP976
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• Resumen

  • This paper is concerned with solution in Hölder spaces of the Cauchy problem for linear and semi-linear backward stochastic partial differential equations (BSPDEs) of super-parabolic type. The pair of unknown variables are viewed as deterministic spatial functionals which take values in Banach spaces of random (vector) processes. We define suitable functional Hölder spaces for them and give some inequalities among these Hölder norms. The existence, uniqueness as well as the regularity of solutions are proved for BSPDEs, which contain new assertions even on deterministic PDEs.