Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity
Probability
2007-05-23 v1
Abstract
In this paper we study a class of backward stochastic differential equations (BSDEs) of the form dY(t)= -AY(t)dt -f_0(t,Y(t))dt -f_1(t,Y(t),Z(t))dt + Z(t)dW(t) on the interval [0,T], with given final condition at time T, in an infinite dimensional Hilbert space H. The unbounded operator A is sectorial and dissipative and the nonlinearity f_0(t,y) is dissipative and defined for y only taking values in a subspace of H. A typical example is provided by the so-called polynomial nonlinearities. Applications are given to stochastic partial differential equations and spin systems.
Keywords
Cite
@article{arxiv.0704.0509,
title = {Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity},
author = {Fulvia Confortola},
journal= {arXiv preprint arXiv:0704.0509},
year = {2007}
}
Comments
22 pages