| dc.contributor.author | Geiss, Christel | |
| dc.contributor.author | Steinicke, Alexander | |
| dc.date.accessioned | 2016-01-07T10:30:49Z | |
| dc.date.available | 2016-01-07T10:30:49Z | |
| dc.date.issued | 2016 | |
| dc.identifier.citation | Geiss, C., & Steinicke, A. (2016). L2-variation of Lévy driven BSDEs with non-smooth terminal conditions. <i>Bernoulli</i>, <i>22</i>(2), 995-1025. <a href="https://doi.org/10.3150/14-BEJ684" target="_blank">https://doi.org/10.3150/14-BEJ684</a> | |
| dc.identifier.other | CONVID_25416595 | |
| dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/48269 | |
| dc.description.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. | |
| dc.language.iso | eng | |
| dc.publisher | International Statistical Institute; Bernoulli Society for Mathematical Statistics and Probability | |
| dc.relation.ispartofseries | Bernoulli | |
| dc.subject.other | backward stochastic differential equations | |
| dc.subject.other | Chaos expansion | |
| dc.subject.other | L 2 -regularity | |
| dc.subject.other | Lévy processes | |
| dc.subject.other | Malliavin calculus | |
| dc.title | L2-variation of Lévy driven BSDEs with non-smooth terminal conditions | |
| dc.type | research article | |
| dc.identifier.urn | URN:NBN:fi:jyu-201601071032 | |
| dc.contributor.laitos | Matematiikan ja tilastotieteen laitos | fi |
| dc.contributor.laitos | Department of Mathematics and Statistics | en |
| dc.contributor.oppiaine | Matematiikka | fi |
| dc.contributor.oppiaine | Mathematics | en |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
| dc.date.updated | 2016-01-07T10:15:05Z | |
| dc.type.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
| dc.description.reviewstatus | peerReviewed | |
| dc.format.pagerange | 995-1025 | |
| dc.relation.issn | 1350-7265 | |
| dc.relation.numberinseries | 2 | |
| dc.relation.volume | 22 | |
| dc.type.version | publishedVersion | |
| dc.rights.copyright | © 2016 ISI/BS. Published in this repository with the kind permission of the publisher. | |
| dc.rights.accesslevel | openAccess | fi |
| dc.type.publication | article | |
| dc.relation.doi | 10.3150/14-BEJ684 | |
| dc.type.okm | A1 | |
