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| HAL : hal-00127337, version 1 |
| arXiv : math.PR/0701849 |
| DOI : 10.1016/j.spa.2007.06.006 |
| Fiche détaillée |  Récupérer au format |
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| Stochastic Processes and their Applications 118, 5 (2008) 818-838 |
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| BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces |
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| Philippe Briand 1, 2Fulvia Confortola 3 |
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| (2008) |
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| 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. |
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| 1 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – INSA Rennes – Université Rennes II |
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| 2 : | Laboratoire de Mathématiques (LAMA) |
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CNRS : UMR5127 – Université de Savoie |
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| 3 : | Dipartimento di Matematica |
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Politecnico di Milano |
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| Processus stochastiques |
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| Domaine | : | Mathématiques/Probabilités |
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| BMO-martingales – backward stochastic differential equations – Kolmogorov equations |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00127337, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00127337 | |
| oai:hal.archives-ouvertes.fr:hal-00127337 | |
| Contributeur : Philippe Briand | |
| Soumis le : Lundi 29 Janvier 2007, 14:34:22 | |
| Dernière modification le : Mardi 9 Mars 2010, 17:13:44 | |
