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• W2253454176 abstract "We consider measurable $F: Omega times mathbb{R}^d to mathbb{R}$ where $F(cdot, x)$ belongs for any $x$ to the Malliavin Sobolev space $mathbb{D}_{1,2}$ (with respect to a Levy 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 Levy noise where the generator is given by a progressively measurable function $f(omega,t,y,z).$" @default.
• W2253454176 created "2016-06-24" @default.
• W2253454176 creator A5005122159 @default.
• W2253454176 creator A5057653390 @default.
• W2253454176 date "2014-04-17" @default.
• W2253454176 modified "2023-09-27" @default.
• W2253454176 title "Malliavin derivative of random functions and applications to L'evy driven BSDEs" @default.
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• W2253454176 hasPublicationYear "2014" @default.
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