On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
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Publication:988681
DOI10.1016/j.spa.2010.05.001zbMath1200.60041arXiv1005.4702OpenAlexW2074337843MaRDI QIDQ988681
Publication date: 18 August 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.4702
backward stochastic differential equationMalliavin's calculusPoisson random measuretime delayed generatorcanonical Lévy spacePicard difference operator
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57)
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