Weighted bounded mean oscillation applied to backward stochastic differential equations

Year of publication

2020

Authors

Geiss, Stefan; Ylinen, Juha

Abstract

We deduce conditional -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 on subintervals of . 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.

Organizations and authors

University of Jyväskylä

Ylinen Juha

Geiss Stefan

Publication type

Publication format

Article

Parent publication type

Journal

Article type

Original article

Audience

Scientific

Peer-reviewed

Peer-Reviewed

MINEDU's publication type classification code

A1 Journal article (refereed), original research

Publication channel information

Journal/Series

Stochastic Processes and their Applications

Publisher

Elsevier

Volume

130

Issue

Pages

3711-3752

ISSN

0304-4149

Publication forum

67612

Publication forum level

Open access

Open access in the publisher’s service

Self-archived

Yes

Other information

Fields of science

Mathematics

Keywords

[object Object],[object Object],[object Object]

Publication country

Netherlands

Internationality of the publisher

International

Language

English

International co-publication

Co-publication with a company

DOI

10.1016/j.spa.2019.10.007

The publication is included in the Ministry of Education and Culture’s Publication data collection

Yes