Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition
Résumé
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.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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