Formula omitted]-solution ([formula omitted]) of linear degenerate backward stochastic partial differential equations in the whole space

Abstract

In this paper, we consider the backward Cauchy problem of linear degenerate stochastic partial differential equations. We obtain the existence and uniqueness results in Sobolev space Lp(Ω;C([0,T];Wm,p)) with both m⩾1 and p⩾2 being arbitrary, without imposing the symmetry condition for the coefficient σ of the gradient of the second unknown—which was introduced by Ma and Yong (1999) [21] in the case of p=2. To illustrate the application, we give a maximum principle for optimal control of degenerate stochastic partial differential equations.