Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs

DOI10.1090/MEMO/1335zbMATH Open1494.60002arXiv1409.5322OpenAlexW3136240625WikidataQ109912579 ScholiaQ109912579MaRDI QIDQ5162913FDOQ5162913

Stefan Geiss, Juha Ylinen

Publication date: 7 November 2021

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Abstract: We introduce a decoupling method on the Wiener space to define a wide class of an-iso-tro-pic Besov spaces. The decoupling method is based on a general distributional approach and not restricted to the Wiener space. The class of Besov spaces we introduce contains the traditional isotropic Besov spaces obtained by the real interpolation method, but also new spaces that are designed to investigate backwards stochastic differential equations (BSDEs). As examples we discuss the Besov regularity (in the sense of our spaces) of forward diffusions and local times. It is shown that among our newly introduced Besov spaces there are spaces that characterize quantitative properties of directional derivatives in the Malliavin sense without computing or accessing these Malliavin derivatives explicitly. Regarding BSDEs, we deduce regularity properties of the solution processes from the Besov regularity of the initial data, in particular upper bounds for their $L_p$-variation, where the generator might be of quadratic type and where no structural assumptions, for example in terms of a forward diffusion, are assumed. As an example we treat sub-quadratic BSDEs with unbounded terminal conditions. Among other tools, we use methods from harmonic analysis. As a by-product, we improve the asymptotic behaviour of the multiplicative constant in a generalized Fefferman inequality and verify the optimality of the bound we established.

Full work available at URL: https://arxiv.org/abs/1409.5322

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zbMATH Keywords

backward stochastic differential equationsanisotropic Besov spacesinterpolation.decoupling on the Wiener space

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35)

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Cited In (11)

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• A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
• The fractional smoothness of integral functionals driven by Brownian motion
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