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

DOI10.1007/S00245-007-9014-9zbMath1147.60318arXivmath/0603428OpenAlexW3106308087MaRDI QIDQ946220

Fulvia Confortola, Philippe Briand

Publication date: 22 September 2008

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603428

zbMATH Keywords

backward stochastic differential equationsmonotone operatorsKolmogorov equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

Higher order differentiability of solutions to backward stochastic differential equations ⋮ Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces ⋮ LINKED RECURSIVE PREFERENCES AND OPTIMALITY ⋮ Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs ⋮ A stochastic maximum principle with dissipativity conditions

Cites Work

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• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
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• Stochastic Hamilton–Jacobi–Bellman Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Backward Stochastic Differential Equations in Finance
• Stochastic Equations in Infinite Dimensions
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