Mean-field backward doubly stochastic differential equations and related SPDEs
Citation and License
Boundary Value Problems 2012, 2012:114 doi:10.1186/1687-2770-2012-114Published: 17 October 2012
Existence and uniqueness result of the solutions to mean-field backward doubly stochastic differential equations (BDSDEs in short) with locally monotone coefficients as well as the comparison theorem for these equations are established. As a preliminary step, the existence and uniqueness result for the solutions of mean-field BDSDEs with globally monotone coefficients is also established. Furthermore, we give the probabilistic representation of the solutions for a class of stochastic partial differential equations by virtue of mean-field BDSDEs, which can be viewed as the stochastic Feynman-Kac formula for SPDEs of mean-field type.