On backward stochastic differential equations in infinite dimensions
نویسندگان
چکیده
منابع مشابه
Stochastic Differential Equations in Infinite Dimensions
In undergoing this life, many people always try to do and get the best. New knowledge, experience, lesson, and everything that can improve the life will be done. However, many people sometimes feel confused to get those things. Feeling the limited of experience and sources to be better is one of the lacks to own. However, there is a very simple thing that can be done. This is what your teacher ...
متن کاملStochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations
We give a sufficient condition on the coefficients of a class of infinite horizon BDSDEs, under which the infinite horizon BDSDEs have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations. A probabilistic interpretation for solutions to a class of stochastic partial differential equations...
متن کاملInfinite time interval backward stochastic differential equations with continuous coefficients
In this paper, we study the existence theorem for [Formula: see text] [Formula: see text] solutions to a class of 1-dimensional infinite time interval backward stochastic differential equations (BSDEs) under the conditions that the coefficients are continuous and have linear growths. We also obtain the existence of a minimal solution. Furthermore, we study the existence and uniqueness theorem f...
متن کاملApproximate Controllability for Linear Stochastic Differential Equations in Infinite Dimensions
The objective of the paper is to investigate the approximate controllability property of a linear stochastic control system with values in a separable real Hilbert space. In a first step we prove the existence and uniqueness for the solution of the dual linear backward stochastic differential equation. This equation has the particularity that in addition to an unbounded operator acting on the Y...
متن کاملOn the Backward Stochastic Riccati Equation in Infinite Dimensions
We study backward stochastic Riccati equations (BSREs) arising in quadratic optimal control problems with infinite dimensional stochastic differential state equations. We allow the coefficients, both in the state equation and in the cost, to be random. In such a context BSREs are backward stochastic differential equations living in a non-Hilbert space and involving quadratic non-linearities. We...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Discrete and Continuous Dynamical Systems - Series S
سال: 2012
ISSN: 1937-1632
DOI: 10.3934/dcdss.2013.6.803