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Backward Stochastic Differential Equations in Infinite Dimensions with Continuous Driver and Applications

Backward Stochastic Differential Equations in Infinite Dimensions with Continuous Driver and... In this paper we prove the existence of a solution to backward stochastic differential equations in infinite dimensions with continuous driver under various assumptions. We apply our results to a stochastic game problem with infinitely many players. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Backward Stochastic Differential Equations in Infinite Dimensions with Continuous Driver and Applications

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References (23)

Publisher
Springer Journals
Copyright
Copyright © 2007 by Springer
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Methods
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s00245-007-0897-2
Publisher site
See Article on Publisher Site

Abstract

In this paper we prove the existence of a solution to backward stochastic differential equations in infinite dimensions with continuous driver under various assumptions. We apply our results to a stochastic game problem with infinitely many players.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Sep 1, 2007

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