Weighted Bounded Mean Oscillation applied to Backward Stochastic Differential Equations

Stefan Geiss; Juha Ylinen

paper

Weighted Bounded Mean Oscillation applied to Backward Stochastic Differential Equations

arXiv:1501.01183

Abstract

We deduce conditional $L_{p}$ -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 \cite{jossain} are obtained as well and some applications of the tail estimates are given.