L^2 variation of Lévy-driven BSDEs with non-smooth terminal conditions

Christel Geiss, Alexander Steinicke

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)
Original languageEnglish
Pages (from-to)995-1025
JournalBernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability
Volume22
Issue number2
DOIs
Publication statusPublished - 2016

Keywords

  • backward stochastic differential equations
  • chaos expansion
  • L_2-regularity
  • Lévy processes
  • Malliavin calculus

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