Malliavin derivative of random functions and applications to Lévy driven BSDEs

DOI10.1214/16-EJP4140zbMATH Open1338.60141arXiv1404.4477OpenAlexW2962868854WikidataQ110236309 ScholiaQ110236309MaRDI QIDQ287696FDOQ287696

Authors: Christel Geiss, Alexander Steinicke 

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We consider measurable $F:Omegaimesmathbb{R}^{d}omathbbR$ where $F(cdot,x)$ belongs for any $x$ to the Malliavin Sobolev space $mathbb{D}_{1,2}$ (with respect to a L'evy process) and provide sufficient conditions on $F$ and $G_1,ldots,G_{d}inmathbb{D}_{1,2}$ such that $F(cdot,G_1,ldots,G_d)inmathbb{D}_{1,2}.$ The above result is applied to show Malliavin differentiability of solutions to BSDEs (backward stochastic differential equations) driven by L'evy noise where the generator is given by a progressively measurable function $f(omega,t,y,z).$

Full work available at URL: https://arxiv.org/abs/1404.4477

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zbMATH Keywords

Lévy driven BSDEsMalliavin calculus for Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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