22 citations · 43 across the 21 of their papers we have counts for
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math.PR2014★ 5 cited
On the Malliavin differentiability of BSDEs
Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac
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 de…
math.PR2014★ 3 cited
Density analysis of BSDEs
Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac
In this paper, we study the existence of densities (with respect to the Lebesgue measure) for marginal laws of the solution to a quadratic growth BSDE. Using the (by now) w…