Geodesic
Backward doubly stochastic differential equations with infinite time horizon
Applications of Mathematics, Tome 57 (2012) no. 6, pp. 641-653.

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We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.
DOI : 10.1007/s10492-012-0039-2
Classification : 35R60, 60H10
Keywords: infinite horizon; filtration; backward stochastic integral; backward doubly stochastic differential equations 
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Zhu, Bo; Han, Baoyan. Backward doubly stochastic differential equations with infinite time horizon. Applications of Mathematics, Tome 57 (2012) no. 6, pp. 641-653. doi : 10.1007/s10492-012-0039-2. http://geodesic.mathdoc.fr/articles/10.1007/s10492-012-0039-2/

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