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Some results on backward equations and stochastic partial differential equations with singularities

Abstract : This thesis is devoted to the study of some problems in the field of backward stochastic differential equations (BSDE), and their applications to partial differential equations.In the first chapter, we introduce the notion of backward doubly stochastic differential equations (BDSDE) with singular terminal condition. A first work consists to study the case of BDSDE with monotone generator. We then obtain existing result by an approximating scheme built considering a truncation of the terminal condition. The last part of this chapter aim to establish the link with stochastic partial differential equations, using a weak solution approach developed by Bally, Matoussi in 2001.The second chapter is devoted to the BSDEs with singular terminal conditions and jumps. As in the previous chapter the tricky part will be to prove continuity in T. We formulate sufficient conditions on the jumps in order to obtain it. A section is then dedicated to establish a link between a minimal solution of our BSDE and partial integro-differential equations.The last chapter is dedicated to doubly reflected second order backward stochastic differential equations (2DRBSDE). We have been looking to establish existence and uniqueness for such equations. In order to obtain this, we had to focus first on the upper reflection problem for 2BSDEs. We combined then these results to those already existing to give a well-posedness context to 2DRBSDE. Uniqueness is established as a straight consequence of a representation property. Existence is obtained using shifted spaces, and regular conditional probability distributions. A last part is then consecrated to the link with some Dynkin games and Israeli options.
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Submitted on : Monday, November 2, 2015 - 1:13:14 PM
Last modification on : Tuesday, March 31, 2020 - 3:21:56 PM
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  • HAL Id : tel-01223251, version 1


Lambert Piozin. Some results on backward equations and stochastic partial differential equations with singularities. Analysis of PDEs [math.AP]. Université du Maine, 2015. English. ⟨NNT : 2015LEMA1004⟩. ⟨tel-01223251⟩



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