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Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
Abstract:We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations (SPDE) with jumps. This is a type of equations, which appear as adjoint equations in the maximum principle approach to optimal control of systems described by SPDE driven by Lévy processes.
Keywords:Backward stochastic partial differential equations  Lévy process  Random jump field  Optimal control  Primary 60H15 Secondary 93E20  35R60
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