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

Briand P; Confortola F

Applied Mathematics and Optimization, Vol.57, No.2, 149-176, 2008

DOI10.1007/s00245-007-9014-9 Export Citation

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

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.

Keywords:monotone operators;backward stochastic differential equations;Kolmogorov equations