Classical and variational differentiability of BSDEs with quadratic growth (Q2462017)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Classical and variational differentiability of BSDEs with quadratic growth |
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Classical and variational differentiability of BSDEs with quadratic growth (English)
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23 November 2007
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The paper proofs sufficient conditions for the existence and uniqueness of solutions of quadratic backward stochastic differential equations. Furthermore, the differentiability of the solution pair is studied. The generators are allowed to grow quadratically in the control variable.
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backward stochastic differential equations
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differentiability
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Malliavin calculus
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Feynman Kac formula
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