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Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition

By Christel Geiss, Stefan Geiss and Emmanuel Gobet

Abstract

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

Topics: Mathematics - Probability, 60H10, 46B70
Year: 2011
OAI identifier: oai:arXiv.org:1103.0371
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