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Abdul Rahman Al-Hussein

Backward stochastic partial differential equations in infinite dimensions

Keywords: Martingale representation theorem, strong orthogonality, backward stochastic differential equation, backward stochastic partial differential equation

With respect to an arbitrary right continuous filtration, not necessary the Wiener filtration, a certain class of backward stochastic differential equations in infinite dimensions is studied. The solution of such an equation is required to be predictable and is got uniquely with the help of a martingale representation theorem which is proved as well. The second part of the paper is devoted to proving the existence and uniqueness of the solution of a backward stochastic partial differential equation.

Random Operators and Stochastic Equations, Walter de Gruyter

Print ISSN: 0926-6364
Volume: 14, 03/2006
Pages: 1 - 22

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