Weighted bounded mean oscillation applied to backward stochastic differential equations

DOI10.1016/J.SPA.2019.10.007zbMATH Open1444.60053arXiv1501.01183OpenAlexW2982249623WikidataQ109744714 ScholiaQ109744714MaRDI QIDQ2175336FDOQ2175336

Stefan Geiss, Juha Ylinen

Publication date: 29 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We deduce conditional $L_p$-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 $(Y,Z)$ on subintervals of $[0,T]$. Some new results for the decoupling technique introduced in cite{jossain} are obtained as well and some applications of the tail estimates are given.

Full work available at URL: https://arxiv.org/abs/1501.01183

Recommendations

• New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations
• Mean-field backward stochastic differential equations and applications
• On Weak Solutions of Backward Stochastic Differential Equations
• Mean-field backward stochastic differential equations: A limit approach
• On approximation of the backward stochastic differential equation
• Mean-field backward doubly stochastic differential equation and its applications
• Mean-field backward stochastic differential equations and related partial differential equations
• scientific article; zbMATH DE number 1159166
• scientific article; zbMATH DE number 850089
• On backward stochastic differential equations

zbMATH Keywords

decouplingBSDEstail estimatesJohn-Nirenberg theoremweighted bounded mean oscillation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Conjugate convex functions in optimal stochastic control
• A numerical scheme for BSDEs
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• 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
• Utility maximization in incomplete markets
• \(L^p\) solutions of backward stochastic differential equations.
• Probability with Martingales
• Title not available (Why is that?)
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• 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
• Continuous exponential martingales and BMO
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Title not available (Why is that?)
• Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• Title not available (Why is that?)
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• On irregular functionals of SDEs and the Euler scheme
• Weighted BMO and discrete time hedging within the Black-Scholes model
• Paraproducts and Commutators of Martingale Transforms

Cited In (3)

• Approximation of stochastic integrals with jumps via weighted BMO approach
• Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs
• Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting

This page was built for publication: Weighted bounded mean oscillation applied to backward stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2175336)