Backward Stochastic Differential Equations in Infinite Dimensions with Continuous Driver and Applications
Journal Article
·
· Applied Mathematics and Optimization
- Dipartimento di Matematica, Politecnico di Milano, piazza Leonardo da Vinci 32 (Italy)
- IRMAR, Universite Rennes 1, Campus de Beaulieu (France)
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.
- OSTI ID:
- 21067396
- Journal Information:
- Applied Mathematics and Optimization, Vol. 56, Issue 2; Other Information: DOI: 10.1007/s00245-007-0897-2; Copyright (c) 2007 Springer; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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