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Backward stochastic partial differential equations in infinite dimensions
Journal article   Peer reviewed

Backward stochastic partial differential equations in infinite dimensions

AbdulRahman Al-Hussein
Random operators and stochastic equations, Vol.14(1), pp.1-22
01/03/2006

Abstract

Mathematics Physical Sciences Science & Technology Statistics & Probability
With respect to an arbitrary right continuous filtration, not necessary the Wiener filtration, a certain class of backward stochastic differential equations in infinite dimensions is studied. The solution of such an equation is required to be predictable and is got uniquely with the help of a martingale representation theorem which is proved as well. The second part of the paper is devoted to proving the existence and uniqueness of the solution of a backward stochastic partial differential equation.

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