Malliavin derivative of random functions and applications to Lévy driven BSDEs

DOI10.1214/16-EJP4140zbMath1338.60141arXiv1404.4477OpenAlexW2962868854WikidataQ110236309 ScholiaQ110236309MaRDI QIDQ287696

Christel Geiss, Alexander Steinicke

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.4477

zbMATH Keywords

Lévy driven BSDEsMalliavin calculus for Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver ⋮ Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals ⋮ Differentiability of SDEs with drifts of super-linear growth ⋮ Density analysis of non-Markovian BSDEs and applications to biology and finance ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs

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