Malliavin derivative of random functions and applications to Lévy driven BSDEs

Abstract

We consider measurable $F: Ω\times \mathbb{R}^d \to \mathbb{R}$ where $F(\cdot, x)$ belongs for any $x$ to the Malliavin Sobolev space $\mathbb{D}_{1,2}$ (with respect to a Lévy process) and provide sufficient conditions on $F$ and $G_1,\ldots,G_d \in \mathbb{D}_{1,2}$ such that $F(\cdot, G_1,\ldots,G_d) \in \mathbb{D}_{1,2}.$ The above result is applied to show Malliavin differentiability of solutions to BSDEs (backward stochastic differential equations) driven by Lévy noise where the generator is given by a progressively measurable function $f(ω,t,y,z).$