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

Giuseppina Guatteri

International Journal of Stochastic Analysis, 2007, vol. 2007, 1-33

Abstract:

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.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:042640

DOI: 10.1155/2007/42640

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