Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
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Publication:2483468
DOI10.1016/J.SPA.2007.06.006zbMATH Open1136.60337arXivmath/0701849OpenAlexW2045563908MaRDI QIDQ2483468FDOQ2483468
Authors: Philippe Briand, F. Confortola 
Publication date: 28 April 2008
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: This paper is devoted to the study of the differentiability of solutions to real-valued backward stochastic differential equations (BSDEs for short) with quadratic generators driven by a cylindrical Wiener process. The main novelty of this problem consists in the fact that the gradient equation of a quadratic BSDE has generators which satisfy stochastic Lipschitz conditions involving BMO martingales. We show some applications to the nonlinear Kolmogorov equations.
Full work available at URL: https://arxiv.org/abs/math/0701849
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