Well-posedness of backward stochastic differential equations with general filtration

DOI10.1016/J.JDE.2013.01.010zbMATH Open1268.60087arXiv1010.0026OpenAlexW2010754343MaRDI QIDQ1945854FDOQ1945854

Qi Lü, Xu Zhang

Publication date: 17 April 2013

Published in: Journal of Differential Equations (Search for Journal in Brave)

Abstract: This paper is addressed to the well-posedness of some linear and semilinear backward stochastic differential equations with general filtration, without using the Martingale Representation Theorem. The point of our approach is to introduce a new notion of solution, i.e., the transposition solution, which coincides with the usual strong solution when the filtration is natural but it is more flexible for the general filtration than the existing notion of solutions. A comparison theorem for transposition solutions is also presented.

Full work available at URL: https://arxiv.org/abs/1010.0026

zbMATH Keywords

backward stochastic differential equationscomparison theoremstochastic maximum principlefiltrationtransposition solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Optimal stochastic control (93E20) Numerical methods for ill-posed problems for boundary value problems involving PDEs (65N20)

Cited In (17)

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• On terminal value problems for bi-parabolic equations driven by Wiener process and fractional Brownian motions
• Numerical solutions of backward stochastic differential equations: a finite transposition method
• On backward problems for stochastic fractional reaction equations with standard and fractional Brownian motion
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• Well-posedness of backward stochastic partial differential equations with Lyapunov condition
• Characterization of optimal feedback for stochastic linear quadratic control problems
• TERMINAL VALUE PROBLEM FOR STOCHASTIC FRACTIONAL EQUATION WITHIN AN OPERATOR WITH EXPONENTIAL KERNEL
• Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application
• The Norm Optimal Control Problem for Stochastic Linear Control Systems
• On a stochastic nonclassical diffusion equation with standard and fractional Brownian motion

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