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

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

2006-03-17

arxiv.org/abs/math/0603428v1

Applied Mathematics and Optimization 57, 2 (2008) 149-176

Mathematics

Probability

Scientific paper

10.1007/s00245-007-9014-9

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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