Zhang, Pei and Ibrahim, Adriana Irawati Nur and Mohamed, Nur Anisah and Mohamed, Nur Anisah (2022) Backward stochastic differential equations (BSDES) using infinite-dimensional martingales with subdifferential operator. Axioms, 11 (10). ISSN 2075-1680, DOI https://doi.org/10.3390/axioms11100536.
Full text not available from this repository.Abstract
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 F-t-progressively measurable generator F of the model we proposed in this paper equals zero.
| Item Type: | Article |
|---|---|
| Funders: | Anhui Philosophy and Social Science Planning Project [AHSKQ2021D98], Universiti Malaya research project [BKS073-2017] |
| Uncontrolled Keywords: | Backward stochastic differential equations (BSDEs); Variational inequalities; Martingales; Subdifferential operators |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Science |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 25 Sep 2023 07:11 |
| Last Modified: | 25 Sep 2023 07:12 |
| URI: | http://eprints.um.edu.my/id/eprint/40880 |
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