Adapted Solution, Numerical Methods and Analysis via Malliavin Calculus for a Unified B-SPDE and Their Applications in Finance（1）

       2014 Spring World Congress on Engineering and Technology (SCET 2014)——The aim of this research is to study the adapted solution, numerical methods, and related convergence analysis for a unified backward stochastic partial differential equation (B-SPDE). The equation is vector-valued, whose drift and diffusion coefficients may involve nonlinear and high-order partial differential operators. Under certain generalized Lipschitz and linear growth conditions, the existence and uniqueness of adapted solution to the B-SPDE are justified. The methods are based on completely discrete schemes in terms of both time and space. The analysis concerning error estimation or rate of convergence of the methods is conducted. The key of the analysis is to develop new theory for random field based Malliavin calculus to prove the existence and uniqueness of adapted solutions to the first-order and second-order Malliavin derivative based B-SPDEs under random environments. Furthermore, we will also address the related issues of our unified B-SPDE involving jumps. In addition, we will present the applications of our unified B-SPDE in fiance, particularly, in the fields of optimal portfolio decision-making and mean-variance hedging with external random environmental risk factors.