Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition
We relate the Lp-variation, 2≤p<∞, 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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Volume (Year): 122 (2012)
Issue (Month): 5 ()
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- Emmanuel Temam & Emmanuel Gobet, 2001. "Discrete time hedging errors for options with irregular payoffs," Finance and Stochastics, Springer, vol. 5(3), pages 357-367.
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