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Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications
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Al-Hussein, AbdulRahman. (2009) Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications. Stochastics, Vol.81 (No.6). pp. 601-626. ISSN 1744-2508
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Official URL: http://dx.doi.org/10.1080/17442500903370202
Abstract
This paper studies first a result of existence and uniqueness of the solution to a backward stochastic differential equation driven by an infinite-dimensional martingale. Then, we apply this result to find a unique solution to a backward stochastic partial differential equation in infinite dimensions. The filtration considered is an arbitrary right-continuous filtration, not necessarily the natural filtration of a Wiener process. This, in particular, allows us to study more applications, for example, the maximum principle for a controlled stochastic evolution system. Some examples are discussed in the paper as well.
| Item Type: | Journal Article |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Science > Mathematics |
| Journal or Publication Title: | Stochastics |
| Publisher: | Taylor & Francis Ltd. |
| ISSN: | 1744-2508 |
| Date: | 30 November 2009 |
| Volume: | Vol.81 |
| Number: | No.6 |
| Number of Pages: | 26 |
| Page Range: | pp. 601-626 |
| Identification Number: | 10.1080/17442500903370202 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/5443 |
Data sourced from Thomson Reuters' Web of Knowledge
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