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On solutions of backward stochastic differential equations with jumps, with unbounded stopping times as terminal and with non-lipschitz coefficients, and probabilistic interpretation of quasi-linear elliptic type integro-differential equations

✍ Scribed by Situ Rong; Wang Yueping

Publisher: Springer
Year: 2000
Tongue: English
Weight: 556 KB
Volume: 21
Category: Article
ISSN: 0253-4827
DOI: 10.1007/bf02460185

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📜 SIMILAR VOLUMES

On solutions of backward stochastic diff

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

✍ Rong Situ 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 141 KB

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