\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions

DOI10.3150/14-BEJ684zbMath1335.60089arXiv1212.3420OpenAlexW3105587658WikidataQ109746638 ScholiaQ109746638MaRDI QIDQ265284

Christel Geiss, Alexander Steinicke

Publication date: 1 April 2016

Published in: Bernoulli (Search for Journal in Brave)

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

zbMATH Keywords

Lévy processesBrownian motionMalliavin calculusbackward stochastic differential equationschaos expansionPoisson random measure\(L_{2}\)-regularity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions, On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples, \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps, A discrete-time Clark-Ocone formula and its application to an error analysis, Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals, Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution, Permutation invariant functionals of Lévy processes, Ong−evaluations with domains under jump filtration, Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering, Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs

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