On the Malliavin differentiability of BSDEs

DOI10.1214/15-AIHP723MaRDI QIDQ520787zbMATH OpenOpenAlexFDO

Authors Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac

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, https://projecteuclid.org/euclid.aihp/1486544899

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)

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 $D^{1,p}$ .

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• On Z-mean reflected BSDEs
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• Differentiability of quadratic BSDEs generated by continuous martingales
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• Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
• Equilibrium Pricing Under Relative Performance Concerns
• Stability of backward stochastic differential equations: the general Lipschitz case

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