In this paper we prove the existence of a solution to backward stochastic differential equations in infinite dimensions with continuous driver under various assumptions. We apply our results to a stochastic game problem with infinitely many players.
Backward stochastic differential equations in infinite dimensions with continuous driver and applications / M. Fuhrman, Y. Hu. - In: APPLIED MATHEMATICS AND OPTIMIZATION. - ISSN 0095-4616. - 56:2(2007), pp. 265-302.
Backward stochastic differential equations in infinite dimensions with continuous driver and applications
M. Fuhrman;
2007
Abstract
In this paper we prove the existence of a solution to backward stochastic differential equations in infinite dimensions with continuous driver under various assumptions. We apply our results to a stochastic game problem with infinitely many players.
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