Backward Stochastic Differential Equations (BSDEs) Using Infinite-dimensional Martingales with Subdifferential Operator

Pei Zhang; Adriana Irawati Nur Ibrahim; Nur Anisah Mohamed

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arXiv · 2208.06026

Backward Stochastic Differential Equations (BSDEs) Using Infinite-dimensional Martingales with Subdifferential Operator

Pei Zhang·Adriana Irawati Nur Ibrahim·Nur Anisah Mohamed

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Abstract

In this paper, we focus on a family of backward stochastic differential equations (BSDEs) with sub-differential operators that are driven by infinite-dimensional martingales which involve symmetry, that is, the process involves a positive definite nuclear operator Q. We shall show that the solution to such infinite-dimensional BSDEs exists and is unique. The existence of the solution is established using Yosida approximations, and the uniqueness is proved using Fixed Point Theorem. Furthermore, as an application of the main result, we shall show that the backward stochastic partial differential equation driven by infinite-dimensional martingales with a continuous linear operator has a unique solution under the condition that the function F equals to zero.

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Pei Zhang, Adriana Irawati Nur Ibrahim, Nur Anisah Mohamed. 2022-08-11. Backward Stochastic Differential Equations (BSDEs) Using Infinite-dimensional Martingales with Subdifferential Operator. https://arxiv.org/abs/2208.06026

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