Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity
| dc.creator | Confortola, Fulvia | |
| dc.date | 2007-04-04 | |
| dc.date.accessioned | 2026-07-07T07:56:29Z | |
| dc.date.available | 2026-07-07T07:56:29Z | |
| dc.description | 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. | |
| dc.description | 22 pages | |
| dc.identifier | https://arxiv.org/abs/0704.0509 | |
| dc.identifier | http://arxiv.org/abs/0704.0509 | |
| dc.identifier | Stochastic Processes and their Applications 117 (2007) 613-628 | |
| dc.identifier | doi:10.1016/j.spa.2006.09.008 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/127323 | |
| dc.subject | Probability | |
| dc.title | Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity | |
| dc.type | text |