On the Malliavin differentiability of BSDEs

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

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationsabstract Wiener space

Mathematics Subject Classification ID

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

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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

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