Classical and variational differentiability of BSDEs with quadratic growth
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Publication:2462017
DOI10.1214/EJP.v12-462zbMath1138.60042arXivmath/0701875MaRDI QIDQ2462017
Peter Imkeller, Stefan Ankirchner, Gonçalo dos Reis
Publication date: 23 November 2007
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0701875
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)
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