On the Malliavin differentiability of BSDEs

DOI10.1214/15-AIHP723zbMATH Open1361.60046arXiv1404.1026OpenAlexW1582134327MaRDI QIDQ520787FDOQ520787

Anthony Réveillac, Dylan Possamaï, Thibaut Mastrolia

Publication date: 6 April 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In this paper we provide new conditions for the Malliavin differentiability of solutions of Lipschitz or quadratic BSDEs. Our results rely on the interpretation of the Malliavin derivative as a G{^a}teaux derivative in the directions of the Cameron-Martin space. Incidentally, we provide a new formulation for the characterization of the Malliavin-Sobolev type spaces $D^{1,p}$ .

Full work available at URL: https://arxiv.org/abs/1404.1026

Recommendations

• Malliavin derivatives of solutions for BSDE
• Malliavin derivative of random functions and applications to Lévy driven BSDEs
• Higher order differentiability of solutions to backward stochastic differential equations
• Classical and variational differentiability of BSDEs with quadratic growth
• BSDEs with terminal conditions that have bounded Malliavin derivative

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationsabstract Wiener space

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (12)

• Differentiability of SDEs with drifts of super-linear growth
• Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation
• Malliavin derivatives of solutions for BSDE
• Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach
• Density analysis of non-Markovian BSDEs and applications to biology and finance
• On Z-mean reflected BSDEs
• Differentiability of quadratic BSDEs generated by continuous martingales
• Moment inequality and Hölder inequality for BSDEs
• Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
• SDEs with random and irregular coefficients
• Equilibrium Pricing Under Relative Performance Concerns
• Stability of backward stochastic differential equations: the general Lipschitz case

This page was built for publication: On the Malliavin differentiability of BSDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q520787)