A Bismut-Elworthy formula for BSDEs with degenerate noise
Abstract
In this paper we derive a Bismut-Elworthy formula under assumptions weaker than the non degeneracy of the noise. By Bismut-Elworthy formula we mean a gradient type estimate on the transition semigroup of a stochastic differential equation in a possibly infinite dimensional Hilbert space. We also consider a nonlinear version of the Bismut formula for a backward stochastic differential equation, in analogy to what is done in futeBismut, where a non-degenerate noise is considered. Our study is motivated by applications to stochastic wave equations and to stochastic damped wave equation.
Turn this paper into a full lesson
ArcXiv compiles a staged curriculum from this paper: 8-12 lessons across beginner → advanced, synthesised section guides, visuals, flashcards, a quiz, exercises, and on-demand deep dives per section. Grounded in the abstract, never invented.