Weighted bounded mean oscillation applied to backward stochastic differential equations

Stefan Geiss and Juha Ylinen

Stochastic Processes and their Applications, 2020, vol. 130, issue 6, 3711-3752

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.

Keywords: BSDEs; Weighted bounded mean oscillation; John–Nirenberg theorem; Tail estimates; Decoupling (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spa.2019.10.007

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