Decoupling on the Wiener space and applications to BSDEs

Stefan Geiss, Juha Ylinen

Published 2014-09-18Version 1

We introduce a decoupling method on the Wiener space to define a wide class of anisotropic Besov spaces. This class of Besov spaces contains the traditional isotropic Besov spaces obtained by the real interpolation method, but also new spaces that are designed to investigate the $L_p$-variation of backwards stochastic differential equations where the generator might be of quadratic type. Our decoupling method is based on a general distributional approach not restricted to the Wiener space.