On solutions of backward stochastic differential equations with jumps and with non-Lipschitzian coefficients in Hilbert spaces and stochastic control

DOI10.1016/S0167-7152(02)00285-7zbMath1017.60069MaRDI QIDQ1871337

Rong Situ

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equation with jumpsnon-Lipschitzian condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (7)

Some Results on Nonlinear Backward Stochastic Evolution Equations ⋮ Approximate controllability of backward stochastic evolution equations in Hilbert spaces ⋮ Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps ⋮ Hilbert space-valued forward-backward stochastic differential equations with Poisson jumps and applications ⋮ On backward stochastic evolution equations in Hilbert spaces and optimal control ⋮ Some results on backward stochastic differential equations of fractional order ⋮ Maximum principles for jump diffusion processes with infinite horizon

Cites Work

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• Semimartingales: A course on stochastic processes
• On solutions of backward stochastic differential equations with jumps and applications
• Maximum principle for semilinear stochastic evolution control systems
• Adapted solution of a backward semilinear stochastic evolution equation
• Stochastic Hamilton–Jacobi–Bellman Equations
• Backward Stochastic Differential Equations in Finance

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