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

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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 > Mathematics
Journal or Publication Title:	Stochastics
Publisher:	Taylor & Francis Ltd.
ISSN:	1744-2508
Official Date:	30 November 2009
Dates:	Date Event 30 November 2009 ["eprint_fieldopt_dates_date_type_available" not defined]
Date of first compliant deposit:	1 August 2016
Date of first compliant Open Access:	1 August 2016
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

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