Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (Q424522): Difference between revisions
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The paper presents an interesting result on the solution of the backward stochastic differential equation \[ Y_t = \xi + \int_t^T f(s,X_s,Y_s,Z_s)\,ds - \int_t^T Z_s dW_s, \quad t\in [0,T]\;\; a.s. \] with a Lipschitz generator \(f\) and a terminal condition \(\xi=g(X_{\tau_1},\dotsc, X_{\tau_L})\) with \(0=\tau_0<\dotsb<\tau_L=T\), where \(g\) is not necessarily a Lipschitz function. After a good introduction on the concept of backward fractional smoothness of a backward stochastic differential equation and some characterizations of this smoothness, the authors use some results given by the first two authors [Stochastics Stochastics Rep. 76, No. 4, 339--362 (2004; Zbl 1060.60056)] and by the third author and \textit{A. Makhlouf} [Stochastic Processes Appl. 120, No. 7, 1105--1132 (2010; Zbl 1195.60079)] to prove two sufficient conditions for smoothness (Corollary 2 and Theorem 4). The point of these two conditions is that they only involve the terminal condition \(\xi\) and do not use the solution \(Y\) nor the generator \(f\) of this BSDE. The proofs of the main results are presented in the third section. Their results extend some others results on the frame of backward stochastic differential equations as for example there given by \textit{B. Bouchard} and \textit{N. Touzi} [Stochastic Processes Appl. 111, No. 2, 175--206 (2004; Zbl 1071.60059)], \textit{J. Zhang} [Ann. Appl. Probab. 14, No. 1, 459--488 (2004; Zbl 1056.60067)], the third author, \textit{J.-Ph. Lemor} and \textit{X. Warin} [Ann. Appl. Probab. 15, No. 3, 2172--2202 (2005; Zbl 1083.60047); Bernoulli 12, No. 5, 889--916 (2006; Zbl 1136.60351)]. | |||
Property / review text: The paper presents an interesting result on the solution of the backward stochastic differential equation \[ Y_t = \xi + \int_t^T f(s,X_s,Y_s,Z_s)\,ds - \int_t^T Z_s dW_s, \quad t\in [0,T]\;\; a.s. \] with a Lipschitz generator \(f\) and a terminal condition \(\xi=g(X_{\tau_1},\dotsc, X_{\tau_L})\) with \(0=\tau_0<\dotsb<\tau_L=T\), where \(g\) is not necessarily a Lipschitz function. After a good introduction on the concept of backward fractional smoothness of a backward stochastic differential equation and some characterizations of this smoothness, the authors use some results given by the first two authors [Stochastics Stochastics Rep. 76, No. 4, 339--362 (2004; Zbl 1060.60056)] and by the third author and \textit{A. Makhlouf} [Stochastic Processes Appl. 120, No. 7, 1105--1132 (2010; Zbl 1195.60079)] to prove two sufficient conditions for smoothness (Corollary 2 and Theorem 4). The point of these two conditions is that they only involve the terminal condition \(\xi\) and do not use the solution \(Y\) nor the generator \(f\) of this BSDE. The proofs of the main results are presented in the third section. Their results extend some others results on the frame of backward stochastic differential equations as for example there given by \textit{B. Bouchard} and \textit{N. Touzi} [Stochastic Processes Appl. 111, No. 2, 175--206 (2004; Zbl 1071.60059)], \textit{J. Zhang} [Ann. Appl. Probab. 14, No. 1, 459--488 (2004; Zbl 1056.60067)], the third author, \textit{J.-Ph. Lemor} and \textit{X. Warin} [Ann. Appl. Probab. 15, No. 3, 2172--2202 (2005; Zbl 1083.60047); Bernoulli 12, No. 5, 889--916 (2006; Zbl 1136.60351)]. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Romeo Negrea / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 46B70 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6040314 / rank | |||
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Property / zbMATH Keywords | |||
backward stochastic differential equations | |||
Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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Property / zbMATH Keywords | |||
fractional smoothness | |||
Property / zbMATH Keywords: fractional smoothness / rank | |||
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Property / zbMATH Keywords | |||
\(L_p\)-variation | |||
Property / zbMATH Keywords: \(L_p\)-variation / rank | |||
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Property / zbMATH Keywords | |||
Besov space | |||
Property / zbMATH Keywords: Besov space / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W1983286604 / rank | |||
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Property / Wikidata QID | |||
Property / Wikidata QID: Q110124933 / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1103.0371 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 07:40, 5 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition |
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Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (English)
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1 June 2012
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The paper presents an interesting result on the solution of the backward stochastic differential equation \[ Y_t = \xi + \int_t^T f(s,X_s,Y_s,Z_s)\,ds - \int_t^T Z_s dW_s, \quad t\in [0,T]\;\; a.s. \] with a Lipschitz generator \(f\) and a terminal condition \(\xi=g(X_{\tau_1},\dotsc, X_{\tau_L})\) with \(0=\tau_0<\dotsb<\tau_L=T\), where \(g\) is not necessarily a Lipschitz function. After a good introduction on the concept of backward fractional smoothness of a backward stochastic differential equation and some characterizations of this smoothness, the authors use some results given by the first two authors [Stochastics Stochastics Rep. 76, No. 4, 339--362 (2004; Zbl 1060.60056)] and by the third author and \textit{A. Makhlouf} [Stochastic Processes Appl. 120, No. 7, 1105--1132 (2010; Zbl 1195.60079)] to prove two sufficient conditions for smoothness (Corollary 2 and Theorem 4). The point of these two conditions is that they only involve the terminal condition \(\xi\) and do not use the solution \(Y\) nor the generator \(f\) of this BSDE. The proofs of the main results are presented in the third section. Their results extend some others results on the frame of backward stochastic differential equations as for example there given by \textit{B. Bouchard} and \textit{N. Touzi} [Stochastic Processes Appl. 111, No. 2, 175--206 (2004; Zbl 1071.60059)], \textit{J. Zhang} [Ann. Appl. Probab. 14, No. 1, 459--488 (2004; Zbl 1056.60067)], the third author, \textit{J.-Ph. Lemor} and \textit{X. Warin} [Ann. Appl. Probab. 15, No. 3, 2172--2202 (2005; Zbl 1083.60047); Bernoulli 12, No. 5, 889--916 (2006; Zbl 1136.60351)].
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backward stochastic differential equations
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fractional smoothness
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\(L_p\)-variation
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Besov space
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