On existence and uniqueness properties for solutions of stochastic fixed point equations with gradient-dependent nonlinearities

Abstract: The combination of the It^o formula and the Bismut-Elworthy-Li formula implies that suitable smooth solutions of semilinear Kolmogorov partial differential equations (PDEs) are also solutions to certain stochastic fixed point equations (SFPEs). In this paper we generalize known results on existence and uniqueness of solutions of SFPEs associated with PDEs with Lipschitz continuous, gradient-independent nonlinearities to the case of gradient-dependent nonlinearities. The main challenge arises from the fact that in the case of a non-differentiable terminal condition and a gradient-dependent nonlinearity the Bismut-Elworthy-Li formula leads to a singularity of the solution of the SFPE in the last time point.