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Mathematics  2006 

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

DOI: 10.1007/s00245-007-9014-9

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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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