Derives Bismut-Elworthy gradient formulas for SDEs and BSDEs with degenerate noise in Hilbert spaces, extending prior non-degenerate results.
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A Bismut-Elworthy formula for BSDEs with degenerate noise
Derives Bismut-Elworthy gradient formulas for SDEs and BSDEs with degenerate noise in Hilbert spaces, extending prior non-degenerate results.