Wiener chaos solutions for linear backward stochastic evolution equations

DOI10.1137/090750652zbMATH Open1235.60080OpenAlexW2015950516MaRDI QIDQ3174596FDOQ3174596

Athanasios Yannacopoulos, Ioannis Karatzas, Nikos E. Frangos

Publication date: 11 October 2011

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090750652

zbMATH Keywords

Wiener chaos expansionstochastic optimal control problembackward stochastic evolution equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic integral equations (60H20) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic analysis (60H99)

Cited In (7)

• Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
• Stochastic levi sums
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
• Numerical methods for hyperbolic SPDEs: a Wiener chaos approach
• Wiener chaos solutions of linear stochastic evolution equations
• Backward stochastic variational inequalities
• Title not available (Why is that?)

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