Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
From MaRDI portal
Publication:5162913
backward stochastic differential equationsanisotropic Besov spacesinterpolation.decoupling on the Wiener space
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)
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 -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.
Recommendations
- Decoupling on the Wiener space and variational estimates for BSDEs
- Backward stochastic differential equations with rough drivers
- Weighted bounded mean oscillation applied to backward stochastic differential equations
- On the Malliavin differentiability of BSDEs
- Rough differential equations driven by signals in Besov spaces
Cites work
- scientific article; zbMATH DE number 5657859 (Why is no real title available?)
- scientific article; zbMATH DE number 3671422 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 192914 (Why is no real title available?)
- scientific article; zbMATH DE number 3536702 (Why is no real title available?)
- scientific article; zbMATH DE number 3594416 (Why is no real title available?)
- scientific article; zbMATH DE number 3602126 (Why is no real title available?)
- scientific article; zbMATH DE number 3635240 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 3446157 (Why is no real title available?)
- scientific article; zbMATH DE number 803197 (Why is no real title available?)
- scientific article; zbMATH DE number 926745 (Why is no real title available?)
- scientific article; zbMATH DE number 926746 (Why is no real title available?)
- scientific article; zbMATH DE number 247188 (Why is no real title available?)
- scientific article; zbMATH DE number 3103174 (Why is no real title available?)
- A forward scheme for backward SDEs
- A numerical scheme for BSDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A simple constructive approach to quadratic BSDEs with or without delay
- Adapted solution of a backward stochastic differential equation
- Applications of fefferman‐stein type interpolation to probability theory and analysis
- BSDE with quadratic growth and unbounded terminal value
- BSDEs with Singular Terminal Condition and a Control Problem with Constraints
- BSDEs with terminal conditions that have bounded Malliavin derivative
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations with singular terminal condition
- Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
- Classical and variational differentiability of BSDEs with quadratic growth
- Continuous exponential martingales and BMO
- Decoupling on the Wiener space and variational estimates for BSDEs
- Differentiable measures and the Malliavin calculus
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Essentials of integration theory for analysis
- Existence for BSDE with superlinear–quadratic coefficient
- Filtration-consistent nonlinear expectations and related g-expectations
- Forward-backward stochastic differential equations and their applications
- Fractional order Sobolev spaces on Wiener space
- Fractional smoothness of some stochastic integrals
- Generalized fractional smoothness and L_p-variation of BSDEs with non-Lipschitz terminal condition
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- Interpolation and approximation in \(L_{2}(\gamma )\)
- Lipschitz functions and fractional Sobolev spaces
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Malliavin derivative of random functions and applications to Lévy driven BSDEs
- Malliavin's calculus and applications in stochastic control and finance
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- Measure and integration theory. Transl. from the German by Robert B. Burckel
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- Multidimensional quadratic and subquadratic BSDEs with special structure
- Nonlinear expectations and nonlinear Markov chains
- Numerical simulation of BSDEs with drivers of quadratic growth
- Numerical simulation of quadratic BSDEs
- On approximation of a class of stochastic integrals and interpolation
- On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space
- On irregular functionals of SDEs and the Euler scheme
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- On the UMD constants for a class of iterated \(L_p(L_q)\) spaces
- On the existence or non-existence of solutions for certain backward stochastic differential equations
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
- On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
- One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
- Paraproducts and Commutators of Martingale Transforms
- Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
- Permutation invariant functionals of Lévy processes
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Quantitative approximation of certain stochastic integrals
- Representation of solutions to BSDEs associated with a degenerate FSDE
- Results on numerics for FBSDE with drivers of quadratic growth
- Régularité du temps local brownien dans les espaces de Besov-Orlicz
- Smoothness of Brownian local times and related functionals
- Smoothness of local times of semimartingales
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- Splitting multidimensional BSDEs and finding local equilibria
- Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques
- Stochastic calculus with anticipating integrands
- The Malliavin Calculus and Related Topics
- Théorie probabiliste du contrôle des diffusions
- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
- Utility maximization in incomplete markets
- Weighted BMO and discrete time hedging within the Black-Scholes model
- Weighted bounded mean oscillation applied to backward stochastic differential equations
- Weighted norm inequalities for martingales
- \(L^p\) solutions of backward stochastic differential equations.
- \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
Cited in
(12)- Sobolev and Besov classes on infinite-dimensional spaces
- 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
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- A stability approach for solving multidimensional quadratic BSDEs
- Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
- Differentiability of quadratic forward-backward SDEs with rough drift
- Bernstein-Jackson inequalities on Gaussian Hilbert spaces
- An extension of Pratelli's inequality
- Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
- Decoupling on the Wiener space and variational estimates for BSDEs
- Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
This page was built for publication: Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5162913)
