Classical and variational differentiability of BSDEs with quadratic growth
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Publication:2462017
DOI10.1214/EJP.V12-462zbMATH Open1138.60042arXivmath/0701875MaRDI QIDQ2462017FDOQ2462017
P. Imkeller, Stefan Ankirchner, Gonçalo dos Reis
Publication date: 23 November 2007
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector parameter . We give sufficient conditions for the solution pair of the BSDE to be differentiable in . These results can be applied to systems of forward-backward SDE. If the terminal condition of the BSDE is given by a sufficiently smooth function of the terminal value of a forward SDE, then its solution pair is differentiable with respect to the initial vector of the forward equation. Finally we prove sufficient conditions for solutions of quadratic BSDE to be differentiable in the variational sense (Malliavin differentiable).
Full work available at URL: https://arxiv.org/abs/math/0701875
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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