L2-variation of Lévy driven BSDEs with non-smooth terminal conditions
Abstract
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.
Main Authors
Format
Articles
Research article
Published
2016
Series
Subjects
Publication in research information system
Publisher
International Statistical Institute; Bernoulli Society for Mathematical Statistics and Probability
The permanent address of the publication
https://urn.fi/URN:NBN:fi:jyu-201601071032Use this for linking
Review status
Peer reviewed
ISSN
1350-7265
DOI
https://doi.org/10.3150/14-BEJ684
Language
English
Published in
Bernoulli
Citation
- 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
License
Copyright© 2016 ISI/BS. Published in this repository with the kind permission of the publisher.