On a class of forward-backward stochastic differential systems in infinite dimensions (Q2478411)

The author of the present paper studies a fully coupled forward-backward stochastic differential equation (FBSDE). Both the forward and the backward equations are considered in separable Hilbert spaces \(H\) and \(K\), respectively, they are driven by a cylindrical Brownian motion and have in their drift an unbounded linear operator \(A\) and \(B\), respectively, generating strongly continuous semigroups in \(H\) and \(K\), respectively. Already from the finite-dimensional case for such FBSDEs, studied by several authors, it is known that the solvability is particularly delicate. In her approach the author exploits some techniques described by Hu and Peng (1991) in their study of infinite-dimensional BSDEs. In the first part of the paper she investigates the FBSDE on a sufficiently short time interval and proves for it the existence and the uniqueness of a mild solution. For the case of a dissipative operator \(B\) she also proves the regular dependence of the solution of the initial state. The main tool is a fixed-point technique performed in a suitable space of stochastic processes. In the second part of her paper the author investigates an application in stochastic control.