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

DOI10.1016/J.JMAA.2006.05.033zbMATH Open1108.60053OpenAlexW2003394790MaRDI QIDQ864705FDOQ864705

Authors: Juliang Yin, Yongjin 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

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zbMATH Keywords

optimal stochastic controlPoisson point processcylindrical Brownian motionadapted solution

Mathematics Subject Classification ID

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

Cites Work

• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Maximum principle for semilinear stochastic evolution control systems
• Adapted solution of a backward semilinear stochastic evolution equation
• Stochastic Hamilton–Jacobi–Bellman Equations
• Solution of forward-backward stochastic differential equations
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• Title not available (Why is that?)
• Title not available (Why is that?)
• On solutions of backward stochastic differential equations with jumps and with non-Lipschitzian coefficients in Hilbert spaces and stochastic control
• Adapted solutions of backward stochastic evolution equations with jumps on Hilbert space. II

Cited In (6)

• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
• Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps
• Time-dependent backward stochastic evolution equations
• On solutions and comparison theorems of infinite horizon forward-backward stochastic differential equations with Poisson jumps
• Analysis of a stochastic model for algal bloom with nutrient recycling

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