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{â}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 D1,pD^{1,p} .

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