BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

Philippe Briand and Fulvia Confortola

Stochastic Processes and their Applications, 2008, vol. 118, issue 5, 818-838

Abstract: This paper is devoted to real valued backward stochastic differential equations (BSDEs for short) with generators which satisfy a stochastic Lipschitz condition involving BMO martingales. This framework arises naturally when looking at the BSDE satisfied by the gradient of the solution to a BSDE with quadratic growth in Z. We first prove an existence and uniqueness result from which we deduce the differentiability with respect to parameters of solutions to quadratic BSDEs. Finally, we apply these results to prove the existence and uniqueness of a mild solution to a parabolic partial differential equation in Hilbert space with nonlinearity having quadratic growth in the gradient of the solution.

Keywords: BMO; martingales; Backward; stochastic; differential; equations; Kolmogorov; equations (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (32)

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