Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces

By Marco Fuhrman, Gianmario Tessitore. 2004

79 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Control and Systems Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/c96d8ed1d8fa1d7e3899d2842523d00425130f45

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

In Control and Systems Engineering

In Finance

Citations in the corpus

BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces (2007, methodology): “This problem of regular dependence of the solution of a stochastic forward–backward system has been studied for finite dimensions by Pardoux and Peng [21], by El Karoui, Peng and Quenez [9], by Tang [24], and, for infinite dimensions, by Fuhrman and Tessitore in [10,11].”
Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations (2005, methodology): “In [ 19 ] this formula has been extended to cases when v is only once Gˆ ateaux differentiable in x. Thus it seems reasonable to take (1.5) as the definition of the generalized directional gradient of v along the directions of G: we say that map ζ :[ 0, T ]× H → � ∗ belongs to the generalized direct”
Stochastic optimal control of delay equations arising in advertising models (2004, methodology): “In this case the L2 approach of Goldys and Gozzi [13] and the forward-backward SDE approach of Fuhrman and Tessitore [10], [12], [11] apply.”
Optimal control of a stochastic heat equation with boundary-noise and boundary-control (2007, methodology): “The difficulty is that, contrary to the case treated in [14] and [15], it is not enough to prove that v is once (Gâteaux) differentiable to give sense to equation (1.”
Ergodic BSDEs under weak dissipative assumptions (2010, background): “They work under the same non-degeneracy assumption that we use here and assume that A is the generator of a contraction semigroup and F is dissipative; they also have a limitation on the Lipschitz constant (with respect to the gradient variable) of the Hamiltonian function ψ (see [11] for similar co”