L₂-variation of Lévy driven BSDEs with non-smooth terminal conditions

DOI10.3150/14-BEJ684zbMATH Open1335.60089arXiv1212.3420OpenAlexW3105587658WikidataQ109746638 ScholiaQ109746638MaRDI QIDQ265284FDOQ265284

Authors: Christel Geiss, Alexander Steinicke 

Publication date: 1 April 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider the $L_2$-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 $(X_t{)}_{tin[0,T]}$. 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.

Full work available at URL: https://arxiv.org/abs/1212.3420

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zbMATH Keywords

Malliavin calculusBrownian motionbackward stochastic differential equations\(L_{2}\)-regularitychaos expansionPoisson random measureLévy processes

Mathematics Subject Classification ID

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)

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Cited In (13)

• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• Permutation invariant functionals of Lévy processes
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• Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
• On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples

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