Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity
نویسندگان
چکیده
منابع مشابه
Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity
In this paper we study a class of backward stochastic differential equations (BSDEs) of the form dYt = −AYtdt−f0(t, Yt)dt−f1(t, Yt, Zt)dt+ZtdWt, 0 ≤ t ≤ T ; YT = ξ in an infinite dimensional Hilbert space H , where the unbounded operator A is sectorial and dissipative and the nonlinearity f0(t, y) is dissipative and defined for y only taking values in a subspace of H . A typical example is prov...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2007
ISSN: 0304-4149
DOI: 10.1016/j.spa.2006.09.008