L₂-variation of Lévy driven BSDEs with non-smooth terminal conditions
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Publication:265284
Malliavin calculusBrownian motionbackward stochastic differential equations\(L_{2}\)-regularitychaos expansionPoisson random measureLévy processes
Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Abstract: We consider the -regularity of solutions to backward stochastic differential equations (BSDEs) with Lipschitz generators driven by a Brownian motion and a Poisson random measure associated with a L'{e}vy process . The terminal condition may be a Borel function of finitely many increments of the L'{e}vy process which is not necessarily Lipschitz but only satisfies a fractional smoothness condition. The results are obtained by investigating how the special structure appearing in the chaos expansion of the terminal condition is inherited by the solution to the BSDE.
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