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Weighted bounded mean oscillation applied to backward stochastic differential equations

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  • Geiss, Stefan
  • Ylinen, Juha

Abstract

We deduce conditional Lp-estimates for the variation of a solution of a BSDE. Both quadratic and sub-quadratic types of BSDEs are considered, and using the theory of weighted bounded mean oscillation we deduce new tail estimates for the solution (Y,Z) on subintervals of [0,T]. Some new results for the decoupling technique introduced in Geiss and Ylinen (2019) are obtained as well and some applications of the tail estimates are given.

Suggested Citation

  • Geiss, Stefan & Ylinen, Juha, 2020. "Weighted bounded mean oscillation applied to backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3711-3752.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:6:p:3711-3752
    DOI: 10.1016/j.spa.2019.10.007
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    References listed on IDEAS

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    6. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    7. Geiss, Christel & Geiss, Stefan & Gobet, Emmanuel, 2012. "Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2078-2116.
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