The Annals of Applied Probability

Numerical simulation of BSDEs with drivers of quadratic growth

Adrien Richou

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Abstract

This article deals with the numerical resolution of Markovian backward stochastic differential equations (BSDEs) with drivers of quadratic growth with respect to z and bounded terminal conditions. We first show some bound estimates on the process Z and we specify the Zhang’s path regularity theorem. Then we give a new time discretization scheme with a nonuniform time net for such BSDEs and we obtain an explicit convergence rate for this scheme.

Article information

Source
Ann. Appl. Probab. Volume 21, Number 5 (2011), 1933-1964.

Dates
First available in Project Euclid: 25 October 2011

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1319576613

Digital Object Identifier
doi:10.1214/10-AAP744

Mathematical Reviews number (MathSciNet)
MR2884055

Zentralblatt MATH identifier
1274.60221

Subjects
Primary: 60H35: Computational methods for stochastic equations [See also 65C30]
Secondary: 65C30: Stochastic differential and integral equations 60H10: Stochastic ordinary differential equations [See also 34F05]

Keywords
BSDEs driver of quadratic growth time discretization scheme

Citation

Richou, Adrien. Numerical simulation of BSDEs with drivers of quadratic growth. Ann. Appl. Probab. 21 (2011), no. 5, 1933--1964. doi:10.1214/10-AAP744. http://projecteuclid.org/euclid.aoap/1319576613.


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