A1 Journal article (refereed)
Weighted bounded mean oscillation applied to backward stochastic differential equations (2020)


Geiss, S., & Ylinen, J. (2020). Weighted bounded mean oscillation applied to backward stochastic differential equations. Stochastic Processes and their Applications, 130(6), 3711-3752. https://doi.org/10.1016/j.spa.2019.10.007


JYU authors or editors


Publication details

All authors or editorsGeiss, Stefan; Ylinen, Juha

Journal or seriesStochastic Processes and their Applications

ISSN0304-4149

eISSN1879-209X

Publication year2020

Volume130

Issue number6

Pages range3711-3752

PublisherElsevier

Publication countryNetherlands

Publication languageEnglish

DOIhttps://doi.org/10.1016/j.spa.2019.10.007

Publication open accessNot open

Publication channel open access

Publication is parallel published (JYX)https://jyx.jyu.fi/handle/123456789/68766

Publication is parallel publishedhttps://arxiv.org/abs/1501.01183


Abstract

We deduce conditional -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 on subintervals of . Some new results for the decoupling technique introduced in Geiss and Ylinen (2019) are obtained as well and some applications of the tail estimates are given.


Keywordsoscillationsstochastic processesdifferential equations

Free keywordsBSDEs; weighted bounded mean oscillation; John-Nirenberg theorem; tail estimates; decoupling


Contributing organizations


Ministry reportingYes

Reporting Year2020

JUFO rating2


Last updated on 2024-26-03 at 20:56