Masiero, Federica - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1945-1979
We consider a backward stochastic differential equation in a Markovian framework for the pair of processes (Y,Z), with generator with quadratic growth with respect to Z. Under non-degeneracy assumptions, we prove an analogue of the well-known Bismut–Elworthy formula when the generator has...