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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
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 | ||||
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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: |
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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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