Hilbert space-valued forward-backward stochastic differential equations with Poisson jumps and applications

DOI10.1016/j.jmaa.2006.05.033zbMath1108.60053MaRDI QIDQ864705

Juliang Yin, Yong Jin Wang

Publication date: 12 February 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.05.033

zbMATH Keywords

Poisson point process; adapted solution; optimal stochastic control; cylindrical Brownian motion

Mathematics Subject Classification ID

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

Related Items

The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

Cites Work

• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• On solutions of backward stochastic differential equations with jumps and with non-Lipschitzian coefficients in Hilbert spaces and stochastic control
• Solution of forward-backward stochastic differential equations
• Maximum principle for semilinear stochastic evolution control systems
• Adapted solution of a backward semilinear stochastic evolution equation
• Stochastic Hamilton–Jacobi–Bellman Equations
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
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