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 editors: Geiss, Stefan; Ylinen, Juha
Journal or series: Stochastic Processes and their Applications
ISSN: 0304-4149
eISSN: 1879-209X
Publication year: 2020
Volume: 130
Issue number: 6
Pages range: 3711-3752
Publisher: Elsevier
Publication country: Netherlands
Publication language: English
DOI: https://doi.org/10.1016/j.spa.2019.10.007
Publication open access: Not open
Publication channel open access:
Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/68766
Publication is parallel published: https://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.
Keywords: oscillations; stochastic processes; differential equations
Free keywords: BSDEs; weighted bounded mean oscillation; John-Nirenberg theorem; tail estimates; decoupling
Contributing organizations
Ministry reporting: Yes
Reporting Year: 2020
JUFO rating: 2