Malliavin derivative of random functions and applications to Lévy driven BSDEs

Abstract: 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 L\'evy process) and provide sufficient conditions on $F$ and $G_1,\ldots,G_d \in \mathbb{D}{1,2}$ such that $F(\cdot, G_1,\ldots,G_d) \in \mathbb{D}_{1,2}.$ The above result is applied to show Malliavin differentiability of solutions to BSDEs (backward stochastic differential equations) driven by L\'evy noise where the generator is given by a progressively measurable function $f(\omega,t,y,z).$