On a class of forward-backward stochastic differential systems in infinite dimensions

DOI10.1155/2007/42640zbMath1154.60044OpenAlexW2076896600MaRDI QIDQ2478411

Giuseppina Guatteri

Publication date: 28 March 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55047

zbMATH Keywords

forward-backward stochastic differential Forward-backward stochastic differential equationinfinite-dimensional backward stochastic differential equationinfinite-dimensional FBSDEstochastic control stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Related Items (9)

On the existence of optimal controls for backward stochastic partial differential equations ⋮ Higher order differentiability of solutions to backward stochastic differential equations ⋮ Solvability of forward-backward stochastic partial differential equations ⋮ A BSDEs approach to pathwise uniqueness for stochastic evolution equations ⋮ BSDE on an infinite horizon and elliptic PDEs in infinite dimension ⋮ Well-posedness of semilinear stochastic wave equations with Hölder continuous coefficients ⋮ Time-dependent backward stochastic evolution equations ⋮ Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems ⋮ Partial smoothing of the stochastic wave equation and regularization by noise phenomena

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