Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
arXiv:math/0603428 · doi:10.1007/s00245-007-9014-9
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.