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On solutions of backward stochastic differential equations with jumps and with non-Lipschitzian coefficients in Hilbert spaces and stochastic control

✍ Scribed by Rong Situ

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 141 KB
Volume: 60
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(02)00285-7

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✦ Synopsis

Existence and uniqueness is established for solutions to backward stochastic di erential equations with jumps and non-Lipschitzian coe cients in Hilbert space. The results are used to solve some special types of optimal stochastic control problems with respect to certain BSDEs with jumps in Hilbert space. The existence of some non-Lipschitzian optimal controls is also established.

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