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

We relate the Lp-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.

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Year of publication:	2012
Authors:	Geiss, Christel ; Geiss, Stefan ; Gobet, Emmanuel
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 5, p. 2078-2116
Publisher:	Elsevier
Subject:	Backward stochastic differential equation \| Lp-variation \| Fractional smoothness \| Besov spaces

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011064893