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
Published in
Stochastic Processes and their ApplicationsDate
2020Access restrictions
Embargoed until: 2022-06-15Request copy from author
Copyright
© 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.
Publisher
ElsevierISSN Search the Publication Forum
0304-4149Keywords
Publication in research information system
https://converis.jyu.fi/converis/portal/detail/Publication/33299798
Metadata
Show full item recordCollections
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.License
Related items
Showing items with similar title or keywords.
-
Decoupling on the Wiener space and variational estimates for BSDEs
Ylinen, Juha (University of Jyväskylä, 2015) -
Mean square rate of convergence for random walk approximation of forward-backward SDEs
Geiss, Christel; Labart, Céline; Luoto, Antti (Cambridge University Press (CUP), 2020)Let (Y, Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk from the underlying Brownian motion B by Skorokhod embedding, one can show -convergence of ... -
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
Geiss, Christel; Steinicke, Alexander (Shandong Daxue, 2018)We show that the comparison results for a backward SDE with jumps established in Royer (Stoch. Process. Appl 116: 1358–1376, 2006) and Yin and Mao (J. Math. Anal. Appl 346: 345–358, 2008) hold under more simplified ... -
Donsker-type theorem for BSDEs : Rate of convergence
Briand, Philippe; Geiss, Christel; Geiss, Stefan; Labart, Céline (International Statistical Institute, 2021)In this paper, we study in the Markovian case the rate of convergence in Wasserstein distance when the solution to a BSDE is approximated by a solution to a BSDE driven by a scaled random walk as introduced in Briand, ... -
Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs
Geiss, Stefan; Ylinen, Juha (American Mathematical Society, 2021)We introduce a decoupling method on the Wiener space to define a wide class of anisotropic Besov spaces. The decoupling method is based on a general distributional approach and not restricted to the Wiener space. The class ...