Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications

DOI10.1080/17442500903370202zbMath1186.60049OpenAlexW2009436979MaRDI QIDQ5190575

Abdulrahman Al-Hussein

Publication date: 18 March 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/5443/1/WRAP_Al_Hussein_140811-alhussein-bspdes.pdf

zbMATH Keywords

backward stochastic differential equationbackward stochastic partial differential equationmartingale representation theoremstrong orthogonality and Galerkin's approximation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Ordinary differential equations and systems with randomness (34F05) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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