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

Details Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition

2011-03-02

arxiv.org/abs/1103.0371v1

Mathematics

Probability

Scientific paper

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.

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