BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control

DOI10.1515/ROSE.2011.002zbMath1266.60099MaRDI QIDQ4923210

Abdulrahman Al-Hussein

Publication date: 6 June 2013

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

maximum principlebackward stochastic differential equationcontinuous martingalestrong orthogonality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Maximum principles in context of PDEs (35B50) Martingales with continuous parameter (60G44)

Related Items (4)

Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs ⋮ Stochastic optimal control for backward stochastic partial differential systems ⋮ Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control ⋮ A variational formula for controlled backward stochastic partial differential equations and some applications

Cites Work

• A stochastic maximum principle for processes driven by fractional Brownian motion.
• [https://portal.mardi4nfdi.de/wiki/Publication:4060205 Repr�sentation de martingales vectorielles de carr� int�grable � valeurs dans des espaces de Hilbert r�els s�parables]

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