关于BSDEs的Malliavin可微性

IF 1.2 2区数学 Q2 STATISTICS & PROBABILITY

Annales De L Institut Henri Poincare-probabilites Et Statistiques Pub Date : 2014-04-03 DOI:10.1214/15-AIHP723

Thibaut Mastrolia, Dylan Possamai, Anthony R'eveillac

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引用次数: 18

摘要

本文给出了Lipschitz或二次BSDEs解的Malliavin可微性的新条件。我们的结果依赖于将Malliavin导数解释为Cameron-Martin空间方向上的g teaux导数。顺便提一下，我们为Malliavin-Sobolev型空间$D^{1,p}$的表征提供了一个新的表述。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On the Malliavin differentiability of BSDEs

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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来源期刊

Annales De L Institut Henri Poincare-probabilites Et Statistiques 数学-统计学与概率论

CiteScore

2.70

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： The Probability and Statistics section of the Annales de l’Institut Henri Poincaré is an international journal which publishes high quality research papers. The journal deals with all aspects of modern probability theory and mathematical statistics, as well as with their applications.