Generalized fractional smoothness and L p-variation of BSDEs with non-Lipschitz terminal condition

Christel Geiss; Stefan Geiss; Emmanuel Gobet

doi:10.1016/j.spa.2012.02.006

Generalized fractional smoothness and L _p-variation of BSDEs with non-Lipschitz terminal condition

Christel Geiss
, Stefan Geiss
, Emmanuel Gobet

Department of Mathematics
University of Innsbruck

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

30 Citations (Scopus)

Résumé

We relate the L _p-variation, 2≤p<∞, of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness takes into account the quantitative propagation of singularities in time.

langue originale	Anglais
Pages (de - à)	2078-2116
Nombre de pages	39
journal	Stochastic Processes and their Applications
Volume	122
Numéro de publication	5
Les DOIs	https://doi.org/10.1016/j.spa.2012.02.006
état	Publié - 1 mai 2012

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10.1016/j.spa.2012.02.006

Contient cette citation

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title = "Generalized fractional smoothness and L p-variation of BSDEs with non-Lipschitz terminal condition",

abstract = "We relate the L p-variation, 2≤p<∞, of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness takes into account the quantitative propagation of singularities in time.",

keywords = "Backward stochastic differential equation, Besov spaces, Fractional smoothness, Lp -variation",

author = "Christel Geiss and Stefan Geiss and Emmanuel Gobet",

year = "2012",

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doi = "10.1016/j.spa.2012.02.006",

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T1 - Generalized fractional smoothness and L p-variation of BSDEs with non-Lipschitz terminal condition

AU - Geiss, Christel

AU - Geiss, Stefan

AU - Gobet, Emmanuel

PY - 2012/5/1

Y1 - 2012/5/1

N2 - We relate the L p-variation, 2≤p<∞, of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness takes into account the quantitative propagation of singularities in time.

AB - We relate the L p-variation, 2≤p<∞, of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness takes into account the quantitative propagation of singularities in time.

KW - Backward stochastic differential equation

KW - Besov spaces

KW - Fractional smoothness

KW - Lp -variation

U2 - 10.1016/j.spa.2012.02.006

DO - 10.1016/j.spa.2012.02.006

M3 - Article

AN - SCOPUS:84860528406

SN - 0304-4149

VL - 122

SP - 2078

EP - 2116

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 5

ER -

Generalized fractional smoothness and L p-variation of BSDEs with non-Lipschitz terminal condition

Résumé

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Contient cette citation

Generalized fractional smoothness and L _p-variation of BSDEs with non-Lipschitz terminal condition