Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs

DOI10.1090/MEMO/1335zbMath1494.60002arXiv1409.5322OpenAlexW3136240625WikidataQ109912579 ScholiaQ109912579MaRDI QIDQ5162913

Stefan Geiss, Juha Ylinen

Publication date: 7 November 2021

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.5322

zbMATH Keywords

backward stochastic differential equationsanisotropic Besov spacesinterpolation.decoupling on the Wiener space

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (10)

A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations ⋮ Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver ⋮ Bernstein-Jackson inequalities on Gaussian Hilbert spaces ⋮ Sobolev and Besov classes on infinite-dimensional spaces ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ Differentiability of quadratic forward-backward SDEs with rough drift ⋮ An extension of Pratelli's inequality ⋮ Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations ⋮ The fractional smoothness of integral functionals driven by Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
• Numerical simulation of quadratic BSDEs
• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
• Malliavin derivative of random functions and applications to Lévy driven BSDEs
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• Splitting multidimensional BSDEs and finding local equilibria
• Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
• Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Adapted solution of a backward stochastic differential equation
• Numerical simulation of BSDEs with drivers of quadratic growth
• Malliavin calculus for backward stochastic differential equations and application to numerical solutions
• 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010
• Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
• On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• Backward stochastic differential equations with singular terminal condition
• Interpolation and approximation in \(L_{2}(\gamma )\)
• One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• On irregular functionals of SDEs and the Euler scheme
• \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
• Stochastic calculus with anticipating integrands
• Smoothness of Brownian local times and related functionals
• Weighted norm inequalities for martingales
• Forward-backward stochastic differential equations and their applications
• Fractional order Sobolev spaces on Wiener space
• Continuous exponential martingales and BMO
• A numerical scheme for BSDEs
• On the existence or non-existence of solutions for certain backward stochastic differential equations
• On the UMD constants for a class of iterated \(L_p(L_q)\) spaces
• Weighted BMO and discrete time hedging within the Black-Scholes model
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Lipschitz functions and fractional Sobolev spaces
• Weighted bounded mean oscillation applied to backward stochastic differential equations
• Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
• On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space
• BSDE with quadratic growth and unbounded terminal value
• A simple constructive approach to quadratic BSDEs with or without delay
• BSDEs with terminal conditions that have bounded Malliavin derivative
• Classical and variational differentiability of BSDEs with quadratic growth
• A forward scheme for backward SDEs
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Nonlinear expectations and nonlinear Markov chains
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
• Utility maximization in incomplete markets
• Representation of solutions to BSDEs associated with a degenerate FSDE
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• \(L^p\) solutions of backward stochastic differential equations.
• Fractional smoothness of some stochastic integrals
• Multidimensional quadratic and subquadratic BSDEs with special structure
• Results on Numerics for FBSDE with Drivers of Quadratic Growth
• Essentials of Integration Theory for Analysis
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• The Malliavin Calculus and Related Topics
• Paraproducts and Commutators of Martingale Transforms
• Théorie probabiliste du contrôle des diffusions
• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]
• Backward Stochastic Differential Equations in Finance
• Existence for BSDE with superlinear–quadratic coefficient
• Smoothness of local times of semimartingales
• Quantitative approximation of certain stochastic integrals
• On approximation of a class of stochastic integrals and interpolation
• Régularité du temps local brownien dans les espaces de Besov-Orlicz
• Permutation invariant functionals of Lévy processes
• BSDEs with Singular Terminal Condition and a Control Problem with Constraints
• Applications of fefferman‐stein type interpolation to probability theory and analysis
• Measure and integration theory. Transl. from the German by Robert B. Burckel

This page was built for publication: Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs