A1 Journal article (refereed)
Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs (2021)
Geiss, S., & Ylinen, J. (2021). Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs. Memoirs of the American Mathematical Society, 272(1335), 1-112. https://doi.org/10.1090/memo/1335
JYU authors or editors
Publication details
All authors or editors: Geiss, Stefan; Ylinen, Juha
Journal or series: Memoirs of the American Mathematical Society
ISSN: 0065-9266
eISSN: 1947-6221
Publication year: 2021
Volume: 272
Issue number: 1335
Pages range: 1-112
Publisher: American Mathematical Society
Publication country: United States
Publication language: English
DOI: https://doi.org/10.1090/memo/1335
Publication open access: Not open
Publication channel open access:
Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/74282
Publication is parallel published: https://arxiv.org/abs/1409.5322
Abstract
Regarding BSDEs, we deduce regularity properties of the solution processes from the Besov regularity of the initial data, in particular upper bounds for their Lpvariation, where the generator might be of quadratic type and where no structural assumptions, for example in terms of a forward diffusion, are assumed. As an example we treat sub-quadratic BSDEs with unbounded terminal conditions. Among other tools, we use methods from harmonic analysis. As a by-product, we improve the asymptotic behaviour of the multiplicative constant in a generalized Fefferman inequality and verify the optimality of the bound we established.
Keywords: stochastic processes; partial differential equations; functional analysis
Free keywords: Anisotropic Besov spaces; decoupling on the Wiener space; backward stochastic differential equations; interpolation
Contributing organizations
Ministry reporting: Yes
Reporting Year: 2021
JUFO rating: 3