A Bismut-Elworthy formula for quadratic BSDEs

DOI10.1016/j.spa.2014.12.003zbMath1322.60093arXiv1404.2098OpenAlexW2014849060MaRDI QIDQ2018566

Federica Masiero

Publication date: 24 March 2015

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

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsBismut-Elworthy formulaquadratic backward stochastic differential equationsstochastic optimal control problemssemilinear Kolmogorov equation

Mathematics Subject Classification ID

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

Related Items (3)

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 ⋮ Mild solutions of semilinear elliptic equations in Hilbert spaces

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