Backward Stochastic Partial Differential Equations with Jumps and Application to Optimal Control of Random Jump Fields

Oksendal, Bernt and Proske, Frank and Zhang, Tusheng (2006) Backward Stochastic Partial Differential Equations with Jumps and Application to Optimal Control of Random Jump Fields. [MIMS Preprint]

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Abstract

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 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes MSC 2010, the AMS's Mathematics Subject Classification > 93 Systems theory; control
Depositing User:	Dr Peter Neal
Date Deposited:	05 Apr 2006
Last Modified:	08 Nov 2017 18:18
URI:	https://eprints.maths.manchester.ac.uk/id/eprint/204

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