Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations

DOI10.1137/090750652zbMath1235.60080OpenAlexW2015950516MaRDI QIDQ3174596

Ioannis Karatzas, Nikolaos E. Frangos, Athanasios N. Yannacopoulos

Publication date: 11 October 2011

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090750652

zbMATH Keywords

Wiener chaos expansionstochastic optimal control problembackward stochastic evolution equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic analysis (60H99) Stochastic integral equations (60H20)

Related Items (3)

Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model ⋮ A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations ⋮ Numerical methods for hyperbolic SPDEs: a Wiener chaos approach

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