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

Christel Geiss (1) , Stefan Geiss (1) , Emmanuel Gobet (2)

1 Department of Mathematics [Innsbruck]
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

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.

Domaines: Probabilités [math.PR]

Christel Geiss, Stefan Geiss, Emmanuel Gobet. Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition. Stochastic Processes and their Applications, 2012, 122 (5), pp.2078--2116. ⟨hal-00572496⟩