A Bismut-Elworthy formula for quadratic BSDEs

DOI10.1016/J.SPA.2014.12.003zbMATH Open1322.60093arXiv1404.2098OpenAlexW2014849060MaRDI QIDQ2018566FDOQ2018566

Authors: Federica Masiero 

Publication date: 24 March 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider a backward stochastic differential equation in a Markovian framework for the pair of processes $(Y,Z)$, with generator with quadratic growth with respect to $Z$. Under non-degeneracy assumptions, we prove an analogue of the well-known Bismut-Elworty formula when the generator has quadratic growth with respect to $Z$. Applications to the solution of a semilinear Kolmogorov equation for the unknown $v$ with nonlinear term with quadratic growth with respect to $ablav$ and final condition only bounded and continuous are given, as well as applications to stochastic optimal control problems with quadratic growth.

Full work available at URL: https://arxiv.org/abs/1404.2098

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationsquadratic backward stochastic differential equationsBismut-Elworthy formulasemilinear Kolmogorov equationstochastic optimal control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (6)

• Mild solutions of semilinear elliptic equations in Hilbert spaces
• Second order backward stochastic differential equations with quadratic growth
• Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients
• Classical and variational differentiability of BSDEs with quadratic growth
• A nonlinear Bismut-Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem

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