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Full-Text Articles in Physical Sciences and Mathematics
On Backward Stochastic Evolution Equations In Hilbert Space And Optimal Control, Nazim I. Mahmudov, Mark A. Mckibben
On Backward Stochastic Evolution Equations In Hilbert Space And Optimal Control, Nazim I. Mahmudov, Mark A. Mckibben
Mathematics Faculty Publications
In this paper a new result on the existence and uniqueness of the adapted solution to a backward stochastic evolution equation in Hilbert spaces under non Lipschitz condition is established. The applicability of this result is then illustrated in a discussion of some concrete backward stochastic partial differential equation. Furthermore, stochastic maximum principle for optimal control problems of stochastic systems governed by backward stochastic evolution equations in Hilbert spaces is obtained.