2006.54: Backward Stochastic Partial Differential Equations with Jumps and Application to Optimal Control of Random Jump Fields
2006.54: Bernt Oksendal, Frank Proske and Tusheng Zhang (2006) Backward Stochastic Partial Differential Equations with Jumps and Application to Optimal Control of Random Jump Fields.
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We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations with jumps. This is a type of equations which appear as adjoint equations in the maximum principle approach to optimal control of systems described by stochastic partial differential equations driven by Levy processes.
|Item Type:||MIMS Preprint|
|Subjects:||MSC 2000 > 35 Partial differential equations|
MSC 2000 > 60 Probability theory and stochastic processes
MSC 2000 > 93 Systems theory; control
|Deposited By:||Dr Peter Neal|
|Deposited On:||05 April 2006|