On forward and backward SPDEs with non-local boundary conditions | Zendy

Nikolai Dokuchaev | Zendy

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On forward and backward SPDEs with non-local boundary conditions

Author(s) -

Nikolai Dokuchaev

Publication year - 2015

Publication title -

discrete and continuous dynamical systems

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.289

H-Index - 70

eISSN - 1553-5231

pISSN - 1078-0947

DOI - 10.3934/dcds.2015.35.5335

Subject(s) - uniqueness , mathematics , terminal (telecommunication) , boundary value problem , mathematical analysis , initial value problem , cauchy distribution , partial differential equation , type (biology) , terminal value , boundary (topology) , computer science , production (economics) , ecology , telecommunications , macroeconomics , net present value , economics , biology

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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