Weighted bounded mean oscillation applied to backward stochastic differential equations

DOI10.1016/J.SPA.2019.10.007MaRDI QIDQ2175336zbMATH OpenOpenAlexWikidataFDO

Authors Stefan Geiss, Juha Ylinen

Publication date 29 April 2020

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

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

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)

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.

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Cited in

(4)

• Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
• Approximation of stochastic integrals with jumps via weighted BMO approach
• Decoupling on the Wiener space and variational estimates for BSDEs
• Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting

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