Infinite horizon BSDEs with dissipative coefficients in Hilbert spaces and applications

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:355

Article

Qiao, Huijie

关键词: Infinite horizon BSDEs;    Dissipative mappings;    Yosida approximation;    Viscosity solution;   

DOI  :  10.1016/j.jmaa.2009.02.030

来源: Elsevier

【 摘 要 】

In this paper we study a class of infinite horizon backward stochastic differential equations (BSDEs) of the form dY(t) = lambda Y (t) dt - f (t, Y(t), Z(t)) dt + Z(t) dW(t), 0 <= t < infinity, in a real separable Hilbert space, where lambda is a given real parameter and the coefficient f is dissipative in y and Lipschitz in z. By Yosida approximation to dissipative mappings we show existence and uniqueness of the solutions for these equations. This result is applied to construct unique Viscosity Solutions to semilinear elliptic partial differential equations (PDEs). (c) 2009 Elsevier Inc. All rights reserved,

【 授权许可】

Free