Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity

Fulvia Confortola

Stochastic Processes and their Applications, 2007, vol. 117, issue 5, 613-628

Abstract: In this paper we study a class of backward stochastic differential equations (BSDEs) of the form in an infinite dimensional Hilbert space H, where the unbounded operator A is sectorial and dissipative and the nonlinearity f0(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.

Keywords: Backward; stochastic; differential; equations; Stochastic; evolution; equations (search for similar items in EconPapers)
Date: 2007
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