Weighted bounded mean oscillation applied to backward stochastic differential equations

Geiss, Stefan; Ylinen, Juha

doi:10.1016/j.spa.2019.10.007

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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

Published in

Stochastic Processes and their Applications

Authors

Geiss, Stefan |

Ylinen, Juha

Date

2020

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Embargoed until: 2022-06-15Request copy from author

Copyright

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.

Publisher

Elsevier

ISSN Search the Publication Forum

0304-4149

Additional information about funding

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.

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Except where otherwise noted, this item's license is described as CC BY-NC-ND 4.0