FBDEs with time delayed generators: L^p-solutions, differentiability, representation formulas and path regularity

DOI10.1016/J.SPA.2011.05.002zbMATH Open1255.60090OpenAlexW2168701081MaRDI QIDQ554465FDOQ554465

Authors Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang 

Publication date 4 August 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.1149

zbMATH Keywords

Malliavin calculusdelaybackward stochastic differential equationcalculus of variationsdifferentiabilityBSDEs\(L^{p}\)-solutionspath regularitytime delayed generators

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori estimates in general $L^p$-spaces and provide sufficient conditions for the solution of a delay BSDE to exist in $L^p$. We introduce decoupled systems of SDE and delay BSDE (delay FBSDE) and give sufficient conditions for their variational differentiability. We connect these variational derivatives to the Malliavin derivatives of delay FBSDE via the usual representation formulas. We conclude with several path regularity results, in particular we extend the classic $L^2$-path regularity to delay FBSDE.

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Cited In (13)

• Multivalued backward stochastic differential equations with time delayed generators
• Reflected backward stochastic differential equations with time delayed generators
• Backward stochastic differential equations with non-Lipschitz time delayed generators
• Reflected BSDEs with time-delayed generators and nonlinear resistance
• Reflected backward stochastic differential equations with time-delayed generators
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
• Forward-backward stochastic equations: a functional fixed point approach
• Reflected BSDE's with discontinuous barrier and time delayed generators
• BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
• Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
• Fully coupled forward-backward stochastic dynamics and functional differential systems
• L ^p -solutions of backward doubly stochastic differential equations with time delayed generators
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators

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