Malliavin Derivatives of Solutions for BSDE

We discuss second order differentiability of solutions for BSDE under Malliavin Calculus sense. The second order derivative is determined by a linear backward stochastic differential equation. In this paper we employ iterating method to construct a pair of stochastic process sequences （Yⁿ, Zⁿ） and prove that it converges to the solution of a linear BSDE in Sobolev space D_2,2. As a result it is second order differentiable under the sense of Malliavin Calculus.