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arXiv · 1405.4454

Transposition Method for Backward Stochastic Evolution Equations Revisited, and Its Application

Qi Lu·Xu Zhang
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Abstract

The main purpose of this paper is to improve our transposition method to solve both vector-valued and operator-valued backward stochastic evolution equations with a general filtration. As its application, we obtain a general Pontryagin-type maximum principle for optimal controls of stochastic evolution equations in infinite dimensions. In 1articular, we drop the technical assumption appeared in [Q. L\"u and X. Zhang, Springer Briefs in Mathematics,Springer, New York, 2014, Theorem 9.1].

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Qi Lu, Xu Zhang. 2014-05-18. Transposition Method for Backward Stochastic Evolution Equations Revisited, and Its Application. https://arxiv.org/abs/1405.4454

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