Weighted bounded mean oscillation applied to backward stochastic differential equations
Geiss, S., & Ylinen, J. (2020). Weighted bounded mean oscillation applied to backward stochastic differential equations. Stochastic Processes and their Applications, 130(6), 3711-3752. https://doi.org/10.1016/j.spa.2019.10.007
Julkaistu sarjassa
Stochastic Processes and their ApplicationsPäivämäärä
2020Tekijänoikeudet
© 2019 Elsevier B.V. All rights reserved.
We deduce conditional -estimates for the variation of a solution of a BSDE. Both quadratic and sub-quadratic types of BSDEs are considered, and using the theory of weighted bounded mean oscillation we deduce new tail estimates for the solution on subintervals of . Some new results for the decoupling technique introduced in Geiss and Ylinen (2019) are obtained as well and some applications of the tail estimates are given.
Julkaisija
ElsevierISSN Hae Julkaisufoorumista
0304-4149Asiasanat
Julkaisu tutkimustietojärjestelmässä
https://converis.jyu.fi/converis/portal/detail/Publication/33299798
Metadata
Näytä kaikki kuvailutiedotKokoelmat
Lisätietoja rahoituksesta
This work was supported by project ”Stochastic and Harmonic Analysis, interactions, and applications” of theAcademy of Finland [project number 133914] and by the Vilho, Yrjö and Kalle Väisälä foundation of the Finnish Academy of Science and Letters.Lisenssi
Ellei muuten mainita, aineiston lisenssi on CC BY-NC-ND 4.0