On the Malliavin differentiability of BSDEs

2014/04/03 by Thibaut Mastrolia, Mastrolia, Thibaut, Dylan Possamaï +3
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Nonlinear Partial Differential Equations #Navier-Stokes equation solutions

paper · doi:10.48550/arxiv.1404.1026

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 Gâteaux 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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