1-4 September 2015
Angers - France
Europe/Paris timezone

Malliavin differentiability of BSDEs

4 Sep 2015, 10:50
30m
Angers - France

Angers - France

Speaker

Prof. ANTHONY REVEILLAC (INSA de Toulouse - Institut de Mathématiques de Toulouse)

Description

In this talk we will revisit conditions under which the solution to a BSDE is Malliavin differentiable. To this end, we provide a new characterization of the Malliavin-Sobolev spaces which is particularly suitable for our purpose. This talk is based on joint works with Thibaut Mastrolia, Peter Imkeller and Dylan Possamaï.

Primary author

Prof. ANTHONY REVEILLAC (INSA de Toulouse - Institut de Mathématiques de Toulouse)

Presentation Materials