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

Philippe Briand (1, 2) , Fulvia Confortola (3)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 LAMA - Laboratoire de Mathématiques
3 Dipartimento di Matematica "F. Brioschi"

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.

Mots clés: backward stochastic differential equation; stochastic control; nonlinear Kolmogorov equation

Domaines: Probabilités [math.PR]

Philippe Briand, Fulvia Confortola. Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators. Applied Mathematics and Optimization, 2008, 57 (2), pp.149-176. ⟨10.1007/s00245-007-9014-9⟩. ⟨hal-00021135⟩