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

Philippe Briand; Fulvia Confortola

doi:10.1007/s00245-007-9014-9

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

Philippe Briand·Fulvia Confortola

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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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BibTeX RIS

Philippe Briand, Fulvia Confortola. 2006-03-17. Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators. https://doi.org/10.1007/s00245-007-9014-9

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