Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
Probability
2008-04-10 v1
Abstract
The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation with a monotone generator in infinite dimension. We show some applications to the nonlinear Kolmogorov equation and to stochastic optimal control.
Keywords
Cite
@article{arxiv.math/0603428,
title = {Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators},
author = {Philippe Briand and Fulvia Confortola},
journal= {arXiv preprint arXiv:math/0603428},
year = {2008}
}