Hilbert space-valued forward-backward stochastic differential equations with Poisson jumps and applications

DOI10.1016/j.jmaa.2006.05.033zbMath1108.60053OpenAlexW2003394790MaRDI QIDQ864705

Yong Jin Wang, Juliang Yin

Publication date: 12 February 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.05.033

zbMATH Keywords

Poisson point processadapted solutionoptimal stochastic controlcylindrical Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions ⋮ The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications ⋮ Analysis of a stochastic model for algal bloom with nutrient recycling

Cites Work

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• Solution of forward-backward stochastic differential equations
• Maximum principle for semilinear stochastic evolution control systems
• Adapted solution of a backward semilinear stochastic evolution equation
• Stochastic Hamilton–Jacobi–Bellman Equations
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps

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