Title of article :
Time-dependent Backward Stochastic Evolution Equations
Author/Authors :
Al-Hussein, AbdulRahman Al-Qasseem University - College of Science - Department of Mathematics, Saudi Arabia
From page :
159
To page :
183
Abstract :
We consider the following infinite dimensional backward stochastic evolution equation:{−dY (t) = (A(t) Y (t) + f(t, Y (t),Z(t) dt − Z(t) dW(t),Y (T) =(Xi),where A(t), t ≥ 0, are unbounded operators that generate a strong evolution operator U(t, r), 0 ≤ r ≤ t ≤ T. We prove under non-Lipschitz conditions that such an equation admits a unique evolution solution. Some examples and regularity properties of this solution are given as well
Keywords :
Martingale representation theorem , Backward stochastic evolution equation , Evolution operator , Evolution solution
Journal title :
Bulletin of the Malaysian Mathematical Sciences Society
Journal title :
Bulletin of the Malaysian Mathematical Sciences Society
Record number :
2672451
Link To Document :
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