On the Malliavin differentiability of BSDEs

Published 3 Apr 2014 in math.PR | (1404.1026v4)

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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