paper

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.

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Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators · wovepaper