On the Malliavin differentiability of BSDEs
From MaRDI portal
Publication:520787
DOI10.1214/15-AIHP723zbMath1361.60046arXiv1404.1026OpenAlexW1582134327MaRDI QIDQ520787
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)
Full work available at URL: https://arxiv.org/abs/1404.1026
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (9)
Equilibrium Pricing Under Relative Performance Concerns ⋮ SDEs with random and irregular coefficients ⋮ Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver ⋮ Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ On Z-mean reflected BSDEs ⋮ Differentiability of SDEs with drifts of super-linear growth ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ Density analysis of non-Markovian BSDEs and applications to biology and finance
This page was built for publication: On the Malliavin differentiability of BSDEs