Backward stochastic differential equations in infinite dimensions and applications
Let \(H\) and \(K\) be two separable Hilbert spaces, \(Q\) be a symmetric positive operator \(Q: H\to H\) with trace \(\text{tr\,}Q< +\infty\), \(W\) be a \(Q\)-Wiener process taking values in \(H\). The backward stochastic differential equation \[ \begin{cases} -Dy(t)= f(t, Y(t), Z(t))\,dt- g(t, Y(t), Z(t))\,dW(t),\quad & 0\leq t\leq T,\\ Y(T)= \xi\end{cases}\tag{1} \] is considered. A strong solution of (1) is a pair \((Y, Z)\) in \(L^2_F(0,T; K)\times L^2_F(0,T; L^2)Q(H, K))\), such that \[ Y(t)= \xi+ \int^T_t f(s, Y(s), Z(s))\,ds- \int^T_t g(s, Y(s), Z(s))\,dW(s),\qquad 0\leq t\leq T,\tag{2} \] holds. The author shows that under some conditions on the mappings \(f\), \(g\) and \(\xi\) there exists a unique strong solution of (1). The author also considers the equation \[ \begin{cases} -dY(t)= f(t, Y(t), Z(t))- Z(t)\,dW(t),\quad & 0\leq t\leq T,\\ Y(T)= \xi,\end{cases}\tag{3} \] where the mapping \(f\) satisfies some weaker conditions. The existence and uniqueness of the solution of (2) is proved and some properties of such solutions are studied. These results are applied to give a representation for the solution of a system of semilinear parabolic partial differential equations and to find viscosity solutions to such equations.
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