Existence, Uniqueness and Malliavin Differentiability of L\'evy-driven BSDEs with locally Lipschitz Driver

We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a L'evy process. In particular, we are interested in generators which satisfy a locally Lipschitz condition in the $Z$ and $U$ variable. This includes settings of linear, quadratic and exponential growths in those variables. Extending an idea of Cheridito and Nam to the jump setting and applying comparison theorems for L'evy-driven BSDEs, we show existence, uniqueness, boundedness and Malliavin differentiability of a solution. The pivotal assumption to obtain these results is a boundedness condition on the terminal value $\xi$ and its Malliavin derivative $D\xi$. Furthermore, we extend existence and uniqueness theorems to cases where the generator is not even locally Lipschitz in $U\mathrm{.}$ BSDEs of the latter type find use in exponential utility maximization.