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arXiv · 1501.01183

Weighted Bounded Mean Oscillation applied to Backward Stochastic Differential Equations

Stefan Geiss·Juha Ylinen
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Abstract

We deduce conditional $L_p$-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 \cite{jossain} are obtained as well and some applications of the tail estimates are given.

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Stefan Geiss, Juha Ylinen. 2015-01-06. Weighted Bounded Mean Oscillation applied to Backward Stochastic Differential Equations. https://arxiv.org/abs/1501.01183

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