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Time-dependent backward stochastic evolution equations
Journal article   Peer reviewed

Time-dependent backward stochastic evolution equations

BULLETIN OF THE MALAYSIAN MATHEMATICAL SCIENCES SOCIETY, Vol.30(2), pp.159-183
01/07/2007

Abstract

Mathematics Physical Sciences Science & Technology
We consider the following infinite dimensional backward stochastic evolution equation: {-dY(t)=(A(t) Y(t) + f (t, Y(t), Z(t))) dt - Z(t) dW(t), Y(T)=xi, where A(t), t >= 0, are unbounded operators that generate a strong evolution operator U(t, r), 0 <= r <= t <= T. We prove under non-Lipschitz conditions that such an equation admits a unique evolution solution. Some examples and regularity properties of this solution are given as well.

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