BSDEs with terminal conditions that have bounded Malliavin derivative

Patrick Cheridito, Kihun Nam

We show existence and uniqueness of solutions to BSDEs of the form $$Y_t=\xi +{\int }_t^{T}f(s,Y_s,Z_s)ds-{\int }_t^T{Z}_{s}d{W}_s$$ in the case where the terminal condition $\xi$ has bounde…