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
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Stochastic Processes and their ApplicationsDate
2020Copyright
© 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.
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ElsevierISSN Search the Publication Forum
0304-4149Keywords
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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.License
Except where otherwise noted, this item's license is described as CC BY-NC-ND 4.0