Infinite horizon BSDEs with dissipative coefficients in Hilbert spaces and applications

DOI10.1016/J.JMAA.2009.02.030MaRDI QIDQ1022975zbMATH OpenOpenAlexFDO

Authors Huijie Qiao

Publication date 10 June 2009

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2009.02.030

zbMATH Keywords

viscosity solutionyosida approximationdissipative mappingsinfinite horizon BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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Cites work

• scientific article; zbMATH DE number 1341816 (Why is no real title available?)
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• Backward stochastic variational inequalities
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• DISSIPATIVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN INFINITE DIMENSIONS
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
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• On stochastic evolution equations with non-Lipschitz coefficients
• On the existence of stochastic optimal control of distributed state system
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
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• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. III: Uniqueness of viscosity solutions for general second-order equations

Cited in

(7)

• Infinite time interval RBSDEs with non-Lipschitz coefficients
• Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• Infinite horizon BSDEs in infinite dimensions with continuous driver and applications
• Infinite horizon BSDEs under consistent nonlinear expectations
• DISSIPATIVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN INFINITE DIMENSIONS
• BSDEs on finite and infinite time horizon with discontinuous coefficients

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