439 citations · 1.3k across the 38 of their papers we have counts for
3 papers · 2 filters
Time irregularity of generalized Ornstein--Uhlenbeck processes
Z. Brzezniak, B. Goldys, P. Imkeller +3
The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical Lévy processes. It turns out that solutions, under rather weak require…
Differentiability of quadratic BSDEs generated by continuous martingales
Peter Imkeller, Anthony Réveillac, Anja Richter
In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of…
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
Peter Imkeller, Goncalo dos Reis
We consider backward stochastic differential equations with drivers of quadratic growth (qgBSDE). We prove several statements concerning path regularity and stochastic smoothness o…