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math.PR2014
HJB equations in infinite dimensions under weak regularizing properties
Federica Masiero
We solve in mild sense Hamilton Jacobi Bellman equations, both in an infinite dimensional Hilbert space and in a Banach space, with lipschitz Hamiltonian and lipschitz continuous f…
math.PR2014★ 1 cited
A Bismut Elworthy formula for quadratic BSDEs
Federica Masiero
We consider a backward stochastic differential equation in a Markovian framework for the pair of processes , with generator with quadratic growth with respect to . Under…