FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity

DOI10.1016/j.spa.2011.05.002zbMath1255.60090arXiv1008.1149MaRDI QIDQ554465

Gonçalo dos Reis, Jianing Zhang, Anthony Réveillac

Publication date: 4 August 2011

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

Full work available at URL: https://arxiv.org/abs/1008.1149

zbMATH Keywords

differentiability; delay; Malliavin calculus; calculus of variations; backward stochastic differential equation; BSDEs; \(L^{p}\)-solutions; path regularity; time delayed generators

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G17: Sample path properties

60H07: Stochastic calculus of variations and the Malliavin calculus

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