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arXiv:math/0603428 [math.PR]AbstractReferencesReviewsResources

Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators

Philippe Briand, Fulvia Confortola

Published 2006-03-17Version 1

The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation with a monotone generator in infinite dimension. We show some applications to the nonlinear Kolmogorov equation and to stochastic optimal control.

Journal: Applied Mathematics and Optimization 57, 2 (2008) 149-176
Categories: math.PR
Subjects: 60H10
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