Generalized fractional smoothness and L_p-variation of BSDEs with non-Lipschitz terminal condition
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Publication:424522
Abstract: We relate the -variation, , of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness takes into account the quantitative propagation of singularities in time.
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- scientific article; zbMATH DE number 6613068
Cites work
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