TY - GEN A1 - Delong, Łukasz A1 - Imkeller, Peter T1 - On Maliavin's differentiability of BSDE with time delayed generators driven by Brownian motions and Poisson random measures N2 - We investigate solutions of backward stochastic differential equations (BSDE) with time delayed generators driven by Brownian motions and Poisson random measures that constitute the two components of a Lévy process. In this new type of equations, the generator can depend on the past values of a solution, by feeding them back into the dynamics with a time lag. For such time delayed BSDE, we prove existence and uniqueness of solutions provided we restrict on a sufficiently small time horizon or the generator possesses a sufficiently small Lipschitz constant. We study differentiability in the variational or Malliavin sense and derive equations that are satisfied by the Malliavin gradient processes. On the chosen stochastic basis this addresses smoothness both with respect to the continuous part of our Lévy process in terms of the classical Malliavin derivative for Hilbert space valued random variables, as well as with respect to the pure jump component for which it takes the form of an increment quotient operator related to the Picard difference operator. KW - backward stochastic differential equation KW - time delayed generator KW - Poisson random measure KW - Mallivin's calculus KW - canonical Lévy space KW - Picard difference operator Y1 - 2009 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/631 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-6316 ER -