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arXiv · 1103.0371

Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition

Christel Geiss·Stefan Geiss·Emmanuel Gobet
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Abstract

We relate the $L_p$-variation, $2\le p < \infty$, 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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Christel Geiss, Stefan Geiss, Emmanuel Gobet. 2011-03-02. Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition. https://arxiv.org/abs/1103.0371

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