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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. doi:10.1080/17442500903370202 ISSN 1744-2508.

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Official URL: http://dx.doi.org/10.1080/17442500903370202

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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, Engineering and Medicine > Science > Mathematics
Journal or Publication Title: Stochastics
Publisher: Taylor & Francis Ltd.
ISSN: 1744-2508
Official Date: 30 November 2009
Dates:
DateEvent
30 November 2009["eprint_fieldopt_dates_date_type_available" not defined]
Volume: Vol.81
Number: No.6
Number of Pages: 26
Page Range: pp. 601-626
DOI: 10.1080/17442500903370202
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access
Date of first compliant deposit: 1 August 2016
Date of first compliant Open Access: 1 August 2016

Data sourced from Thomson Reuters' Web of Knowledge

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