Backward Stochastic Partial Differential Equations with Jumps and Application to Optimal Control of Random Jump Fields
نویسندگان
چکیده
We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations 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 stochastic partial differential equations driven by Lévy processes.
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