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Weighted bounded mean oscillation applied to backward stochastic differential equations

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  • Geiss, Stefan
  • Ylinen, Juha

Abstract

We deduce conditional Lp-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 (Y,Z) on subintervals of [0,T]. 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.

Suggested Citation

  • Geiss, Stefan & Ylinen, Juha, 2020. "Weighted bounded mean oscillation applied to backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3711-3752.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:6:p:3711-3752
    DOI: 10.1016/j.spa.2019.10.007
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    References listed on IDEAS

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