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 (5)

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 ⋮ Well-posedness of semilinear stochastic wave equations with Hölder continuous coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a degenerate backward SPDE, with applications
• On linear, degenerate backward stochastic partial differential equations
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• On semi-linear degenerate backward stochastic partial differential equations
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Solution of forward-backward stochastic differential equations
• Global regular solutions of second order Hamilton-Jacobi equations in Hilbert spaces with locally Lipschitz nonlinearities
• \(L^p\) solutions of backward stochastic differential equations.
• A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.
• Second-Order Hamilton–Jacobi Equations in Infinite Dimensions
• Adapted solution of a backward semilinear stochastic evolution equation
• Stochastic Hamilton–Jacobi–Bellman Equations
• Existence, uniqueness and space regularity of the adapted solutions of a backward spde
• Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations
• The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces
• Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem
• Ergodicity for Infinite Dimensional Systems
• On the Backward Stochastic Riccati Equation in Infinite Dimensions
• DISSIPATIVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN INFINITE DIMENSIONS
• Second order PDE's in finite and infinite dimension
• Stochastic Equations in Infinite Dimensions

This page was built for publication: On a class of forward-backward stochastic differential systems in infinite dimensions