BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

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dc.creatorBriand, Philippe
dc.creatorConfortola, Fulvia
dc.date2007-01-29
dc.date.accessioned2026-07-07T09:31:23Z
dc.date.available2026-07-07T09:31:23Z
dc.descriptionThis 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.
dc.identifierhttps://arxiv.org/abs/math/0701849
dc.identifierhttp://arxiv.org/abs/math/0701849
dc.identifierStochastic Processes and their Applications 118, 5 (2008) 818-838
dc.identifierdoi:10.1016/j.spa.2007.06.006
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/158440
dc.subjectProbability
dc.subject60H10, 35K55
dc.titleBSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
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