Classical and variational differentiability of BSDEs with quadratic growth.

Ankirchner, Stefan, Imkeller, Peter, and Dos Reis, Gonçalo J.N.. "Classical and variational differentiability of BSDEs with quadratic growth.." Electronic Journal of Probability [electronic only] 12 (2007): 1418-1453. <http://eudml.org/doc/129009>.

@article{Ankirchner2007,
author = {Ankirchner, Stefan, Imkeller, Peter, Dos Reis, Gonçalo J.N.},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {backward stochastic differential equations; differentiability; Malliavin calculus; Feynman Kac formula},
language = {eng},
pages = {1418-1453},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {Classical and variational differentiability of BSDEs with quadratic growth.},
url = {http://eudml.org/doc/129009},
volume = {12},
year = {2007},
}

TY - JOUR
AU - Ankirchner, Stefan
AU - Imkeller, Peter
AU - Dos Reis, Gonçalo J.N.
TI - Classical and variational differentiability of BSDEs with quadratic growth.
JO - Electronic Journal of Probability [electronic only]
PY - 2007
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 12
SP - 1418
EP - 1453
LA - eng
KW - backward stochastic differential equations; differentiability; Malliavin calculus; Feynman Kac formula
UR - http://eudml.org/doc/129009
ER -