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Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps

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  • Cao, Guilan
  • He, Kai

Abstract

In this paper, we study the existence and uniqueness of mild solutions to semilinear backward stochastic evolution equations driven by the cylindrical I-Brownian motion and the Poisson point process in a Hilbert space with non-Lipschitzian coefficients by the successive approximation.

Suggested Citation

  • Cao, Guilan & He, Kai, 2007. "Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1251-1264, September.
    • Handle: RePEc:eee:spapps:v:117:y:2007:i:9:p:1251-1264
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    References listed on IDEAS

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    1. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    3. Situ, Rong, 2002. "On solutions of backward stochastic differential equations with jumps and with non-Lipschitzian coefficients in Hilbert spaces and stochastic control," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 279-288, December.
    4. Mao, Xuerong, 1995. "Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 58(2), pages 281-292, August.
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    Cited by:

    1. Wang, JinRong, 2015. "Approximate mild solutions of fractional stochastic evolution equations in Hilbert spaces," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 315-323.

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