倒向随机偏微分方程及其应用运筹学与控制论专业论文.docxVIP

中文摘要倒向随机偏微分方程及其应用 中文摘要 倒向随机偏微分方程及其应用 摘要 本文研究半线性倒向随机偏微分方程的解的存在唯一性和正则性，重点讨 论方程的Cauchy问题和超抛物型条件下的Dirichlet边值问题． 前两章是准备工作．第三章证明全空间上的超抛物型倒向随机偏微分方程 的日m解的存在唯一性． 第四章证明C2区域上的超抛物型倒向随机偏微分方程Dirichlet问题的强 解的存在唯一性，并研究线性方程解的正则性．证明借用了偏微分方程研究中 的分解和展平技术，以及参数延拓法．作为应用，证明了推广的It6公式和弱解 的比较定理． 第五章讨论全空间上的退化抛物型倒向随机偏微分方程，证明线性方程的 弱解的存在唯一性，建立解关于空间变量的wm，p估计@≥2)；在Lipschitz条 件下证明半线性方程弱解的存在唯一性，并讨论解的正则性． 第六章首次研究有界区域上的二次增长型倒向随机偏微分方程．在比较一 般的条件下，证明了弱解的存在性和唯一性． 最后，第七章给出了三个简单例子是说明上述结果的应用：非M冰ov过 程的首次跃出时，随机型Feynman．Kac公式和退化型部分观测最优控制问题的 Pontryagin最大值原理． 关键词：倒向随机偏微分方程，Dirichlet问题，强解，退化抛物型，二次 增长． 中图分类号：0211．6 英文摘要BaCkward 英文摘要 BaCkward StOChastic PartiaI DifferentiaI EquatjOnS and their ApplicationS AB STRACT The dissertation is concemed with the existence，uniqueness and regularity of solutions to semi—linear backward stochastic PDEs．It addresses the Cauchy problem for the equatiOns and the Di richlet bounda∥problem under the super．parabolicity condition． The 6rst two chapters ar℃preliminaries． In Chapcer 3，the existence and uniqueness of 日m—solutions for super-parabolic backward stochastic PDEs in the whole space are proVed． In Chapter 4，the existence and uniqueness of strong solutions to the Dirichlet problem for super-parabolic backward stochastic PDEs are proved in C2 domains，and then the regul撕ty of solutions to linear equations are studied．The proof毫make of the decomposition and flat— tening techniques as well as the method of parameter continuity．As by practices，a generaIized It6 fo咖ula and comparison theorem for weak s01utions are obtained． In Chapter 5，degenerate parabolic backward stochastic PDEs are studied in the whole space．The existence and uniqueness of weak solutions to linear equations are proved，and the W’mp estimates∞≥2)for the solution w．r．t．the spatial v撕ables 2Lre established．Moreover’ the existence and uniqueness results are proVed for the semi—linear equations with the Lipschitz cOnditions，and the regularity of the solution is also discussed。 In Chapter 6，a backward stochastic P【)E in