Backward stochastic differential equations in infinite dimensions with continuous driver and applications

Marco Fuhrman (1) , Ying Hu (2)

1 DIPARTIMENTO DI MATEMATICA - Dipartimento di Matematica
2 IRMAR - Institut de Recherche Mathématique de Rennes

In this paper we prove the existence of a solution to backward stochastic differential equations in infinite dimensions with continuous driver under various assumptions. We apply our results to a stochastic game problem with infinitely many players.

Mots clés: backward stochastic differential equations; stochastic differential games

Domaines: Probabilités [math.PR]

Marco Fuhrman, Ying Hu. Backward stochastic differential equations in infinite dimensions with continuous driver and applications. Applied Mathematics and Optimization, 2007, 56 (2), pp.265-302. ⟨10.1007/s00245-007-0897-2⟩. ⟨hal-00364758⟩