Generalized fractional smoothness and L_p-variation of BSDEs with non-Lipschitz terminal condition
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Publication:424522
DOI10.1016/J.SPA.2012.02.006zbMATH Open1255.60096arXiv1103.0371OpenAlexW1983286604WikidataQ110124933 ScholiaQ110124933MaRDI QIDQ424522FDOQ424522
Authors: Christel Geiss, Stefan Geiss, Emmanuel Gobet 
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1103.0371
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