Backward Stochastic Differential Equations (BSDEs) Using Infinite-Dimensional Martingales with Subdifferential Operator

Autor:	Pei Zhang, Adriana Irawati Nur Ibrahim, Nur Anisah Mohamed
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	backward stochastic differential equations (BSDEs) variational inequalities martingales subdifferential operators Mathematics QA1-939
Zdroj:	Axioms, Vol 11, Iss 10, p 536 (2022)
Druh dokumentu:	article
ISSN:	2075-1680
DOI:	10.3390/axioms11100536
Popis:	In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with subdifferential operators that are driven by infinite-dimensional martingales. We shall show that the solution to such infinite-dimensional BSDEs exists and is unique. The existence and uniqueness of the solution are established using Yosida approximations. Furthermore, as an application of the main result, we shall show that the backward stochastic partial differential equation driven by infinite-dimensional martingales with a continuous linear operator has a unique solution under the special condition that the Ft-progressively measurable generator F of the model we proposed in this paper equals zero.
Databáze:	Directory of Open Access Journals
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