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.