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arXiv · 1404.1026

On the Malliavin differentiability of BSDEs

Thibaut Mastrolia·Dylan Possamaï·Anthony Réveillac
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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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Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac. 2014-04-03. On the Malliavin differentiability of BSDEs. https://arxiv.org/abs/1404.1026

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