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L2-variation of Lévy driven BSDEs with non-smooth terminal conditions

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Geiss, C., & Steinicke, A. (2016). L2-variation of Lévy driven BSDEs with non-smooth terminal conditions. Bernoulli, 22(2), 995-1025. https://doi.org/10.3150/14-BEJ684
Published in
Bernoulli
Authors
Geiss, Christel |
Steinicke, Alexander
Date
2016
Discipline
MatematiikkaMathematics
Copyright
© 2016 ISI/BS. Published in this repository with the kind permission of the publisher.

 
We consider the L2-regularity of solutions to backward stochastic differential equations (BSDEs) with Lipschitz generators driven by a Brownian motion and a Poisson random measure associated with a Lévy process (Xt)t∈[0,T]. The terminal condition may be a Borel function of finitely many increments of the Lévy process which is not necessarily Lipschitz but only satisfies a fractional smoothness condition. The results are obtained by investigating how the special structure appearing in the chaos expansion of the terminal condition is inherited by the solution to the BSDE.
Publisher
International Statistical Institute; Bernoulli Society for Mathematical Statistics and Probability
ISSN Search the Publication Forum
1350-7265
Keywords
backward stochastic differential equations Chaos expansion L 2 -regularity Lévy processes Malliavin calculus
DOI
https://doi.org/10.3150/14-BEJ684
URI

http://urn.fi/URN:NBN:fi:jyu-201601071032

Publication in research information system

https://converis.jyu.fi/converis/portal/detail/Publication/25416595

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