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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Geiss, Christel³  Geiss, Stefan³  Gobet, Emmanuel^1,2 

[1] Ecole Polytech, Ctr Math Appl, F-91128 Palaiseau, France

[2] Ecole Polytech, CNRS, F-91128 Palaiseau, France

[3] Univ Innsbruck, Dept Math, A-6020 Innsbruck, Austria

关键词: Backward stochastic differential equation;    L-p-variation;    Fractional smoothness;    Besov spaces;   

DOI  :  10.1016/j.spa.2012.02.006

来源: Elsevier

【 摘 要 】

We relate the L-p-variation, 2 <= p < infinity, 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. (C) 2012 Elsevier B.V. All rights reserved.

【 授权许可】

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