Article ID Journal Published Year Pages File Type
844581 Nonlinear Analysis: Theory, Methods & Applications 2007 15 Pages PDF
Abstract

In this paper a new result on the existence and uniqueness of the adapted solution to a backward stochastic evolution equation in Hilbert spaces under a non-Lipschitz condition is established. The applicability of this result is then illustrated in a discussion of a concrete backward stochastic partial differential equation. Furthermore, a stochastic maximum principle for optimal control problems of stochastic systems governed by backward stochastic evolution equations in Hilbert spaces is obtained.

Related Topics
Physical Sciences and Engineering Engineering Engineering (General)
Authors
, ,