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

DOI10.1155/2007/42640zbMath1154.60044MaRDI 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 equation; infinite-dimensional backward stochastic differential equation; infinite-dimensional FBSDE; stochastic control stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

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