Geiss, Christel; Geiss, Stefan; Gobet, Emmanuel - In: Stochastic Processes and their Applications 122 (2012) 5, pp. 2078-2116
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...
