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Classical and Variational Differentiability of BSDEs with Quadratic Growth
Ankirchner, Stefan; Humboldt Uiversitaet Berlin - Imkeller, Peter; Humboldt Uiversitaet Berlin - Dos Reis, Goncalo JN; Humboldt Uiversitaet Berlin
| Formato: |
Peer-reviewed Article, |
| Enlaces: |
 
We consider Backward Stochastic Differential Equations (BSDEs) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector parameter $x$. We give…
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| Fecha: |
2007-01-01 |
| Recurso: |
Electronic journal of probability |
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