-time regularity of BSDEs with irregular terminal functions

Emmanuel Gobet and Azmi Makhlouf

Stochastic Processes and their Applications, 2010, vol. 120, issue 7, 1105-1132

Abstract: We study the -time regularity of the Z-component of a Markovian BSDE, whose terminal condition is a function g of a forward SDE (Xt)0

Keywords: Backward; stochastic; differential; equations; Time; regularity; Malliavin; calculus; Rate; of; convergence (search for similar items in EconPapers)
Date: 2010
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