Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition
By C. Geiss, Stefan Geiss †, Emmanuel Gobet. 2011
47 citations recorded by the source corpus.
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.
Subfields: Computational Theory and Mathematics, Control and Systems Engineering, Finance
View Paper: https://www.semanticscholar.org/paper/9d608f425d8697d61d0edb0cd553d4d125a269f1
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In Computational Theory and Mathematics
In Control and Systems Engineering
In Finance
- Jean-François Chassagneux
- D. Crisan
- Arnulf Jentzen
- Martin Hutzenthaler
- Philippe von Wurstemberger
- P. C. D. Raynal
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Citations in the corpus
- RUNGE-KUTTA SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS (2014, background): “Under weak regularity assumption on the coefficient g, the order 12 can be retrieved; see, for example, [2, 5, 7, 8, 17].”