Malliavin derivative of random functions and applications to Lévy driven BSDEs

Christel Geiss, Alexander Steinicke

We consider measurable $F:\Omega \times {\mathbb{R}}^d\to \mathbb{R}$ where $F(\cdot ,x)$ belongs for any $x$ to the Malliavin Sobolev space ${\mathbb{D}}_{1,2}$ (with respect to a Lévy pr…