Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields

DOI10.1080/17442500500213797zbMath1090.60057MaRDI QIDQ5711149

Bernt Øksendal, Tu-Sheng Zhang, Frank Norbert Proske

Publication date: 9 December 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.maths.manchester.ac.uk/204/1/psrr12-2005.pdf

zbMATH Keywords

Lévy process

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

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