Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
844581 | Nonlinear Analysis: Theory, Methods & Applications | 2007 | 15 Pages |
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.
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Authors
N.I. Mahmudov, M.A. McKibben,