Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver.

Abstract

We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a Lévy process. In particular, we are interested in generators which satisfy a local Lipschitz condition in the Z and U variable. This includes settings of linear, quadratic and exponential growths in those variables. Extending an idea of Cheridito and Nam to the jump setting and applying comparison theorems for Lévy-driven BSDEs, we show existence, uniqueness, boundedness and Malliavin differentiability of a solution. The pivotal assumption to obtain these results is a boundedness condition on the terminal value ξ and its Malliavin derivative $D\xi$ . Furthermore, we extend existence and uniqueness theorems to cases where the generator is not even locally Lipschitz in U. BSDEs of the latter type find use in exponential utility maximization.