Weighted Bounded Mean Oscillation applied to Backward Stochastic Differential Equations

Stefan Geiss; Juha Ylinen

Weighted Bounded Mean Oscillation applied to Backward Stochastic Differential Equations

Probability 2019-08-02 v3

Authors: Stefan Geiss , Juha Ylinen

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.

Keywords

backward stochastic differential equations heavy-tailed distributions weighted inequalities

Cite

@article{arxiv.1501.01183,
  title  = {Weighted Bounded Mean Oscillation applied to Backward Stochastic Differential Equations},
  author = {Stefan Geiss and Juha Ylinen},
  journal= {arXiv preprint arXiv:1501.01183},
  year   = {2019}
}

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