Differentiability of Backward Stochastic Differential Equations in Hilbert Spaces with Monotone Generators |
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| Authors: | Philippe Briand Fulvia Confortola |
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| Institution: | (1) IRMAR, Université Rennes 1, 35042 Rennes Cedex, France;(2) Dipartimento di Matematica, Politecnico di Milano, piazza Leonardo da Vinci 32, 20133 Milano, Italy |
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| Abstract: | 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. |
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| Keywords: | Monotone operators Backward stochastic differential equations Kolmogorov equations |
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