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arXiv · 0704.1223

Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension

Philippe Briand·Fulvia Confortola
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Abstract

In this paper we study one dimensional backward stochastic differential equations (BSDEs) with random terminal time not necessarily bounded or finite when the generator F(t,Y,Z) has a quadratic growth in Z. We provide existence and uniqueness of a bounded solution of such BSDEs and, in the case of infinite horizon, regular dependence on parameters. The obtained results are then applied to prove existence and uniqueness of a mild solution to elliptic partial differential equations in Hilbert spaces.

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Philippe Briand, Fulvia Confortola. 2007-06-21. Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension. https://arxiv.org/abs/0704.1223

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