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

DOI10.1016/J.JMAA.2006.05.033MaRDI QIDQ864705zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

optimal stochastic controlPoisson point processcylindrical Brownian motionadapted solution

Mathematics Subject Classification ID

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

Recommendations

• Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps
• On solutions and comparison theorems of infinite horizon forward-backward stochastic differential equations with Poisson jumps
• On solutions of backward stochastic differential equations with jumps and with non-Lipschitzian coefficients in Hilbert spaces and stochastic control
• On solutions of backward stochastic differential equations with jumps in Hilbert space. I
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps

Cites work

• scientific article; zbMATH DE number 2163934 (Why is no real title available?)
• scientific article; zbMATH DE number 3441409 (Why is no real title available?)
• Adapted solution of a backward semilinear stochastic evolution equation
• Adapted solutions of backward stochastic evolution equations with jumps on Hilbert space. II
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Maximum principle for semilinear stochastic evolution control systems
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• 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
• Stochastic Hamilton–Jacobi–Bellman Equations

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

This page was built for publication: Hilbert space-valued forward-backward stochastic differential equations with Poisson jumps and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q864705)