On a Class of Forward-Backward Stochastic Differential Systems in Infinite Dimensions | Zendy

Giuseppina Guatteri | Zendy

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On a Class of Forward-Backward Stochastic Differential Systems in Infinite Dimensions

Author(s) -

Giuseppina Guatteri

Publication year - 2007

Publication title -

journal of applied mathematics and stochastic analysis

Language(s) - English

Resource type - Journals

eISSN - 1687-2177

pISSN - 1048-9533

DOI - 10.1155/2007/42640

Subject(s) - mathematics , class (philosophy) , connection (principal bundle) , property (philosophy) , interval (graph theory) , stochastic differential equation , differential (mechanical device) , pure mathematics , mathematical analysis , combinatorics , computer science , philosophy , geometry , epistemology , artificial intelligence , engineering , aerospace engineering

We prove that a class of fully coupled forward-backward systems in infinite dimensions has a local unique solution. After studying the regularity property of the solution, we prove that for a peculiar class of systems arising in the theory of stochastic optimal control, the solution exists in arbitrary large time interval. Finally, we investigate the connection between the solution to the systems and a stochastic optimal control problem

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