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Tales and tails of BSDEs

Research paper by Juha Ylinen

Indexed on: 06 Jan '15Published on: 06 Jan '15Published in: Mathematics - Probability



Abstract

We deduce conditional $L_p$-estimates for the variation of a solution of a BSDE. Both quadratic and subquadratic types of BSDEs are considered, and using the theory of weighted BMO we deduce tail-estimates for the solution on subintervals of $[0,T]$. Some new results for the decoupling method introduced in \cite{jossain} are obtained and used.