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Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition (1103.0371v1)
Published 2 Mar 2011 in math.PR
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.
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