The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 21, Number 5 (2011), 1933-1964.
Numerical simulation of BSDEs with drivers of quadratic growth
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.
Ann. Appl. Probab. Volume 21, Number 5 (2011), 1933-1964.
First available in Project Euclid: 25 October 2011
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Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
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]
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. https://projecteuclid.org/euclid.aoap/1319576613