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

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.

References in corpus (1)

• A regression-based Monte Carlo method to solve backward stochastic differential equations