WEAK APPROXIMATION OF SECOND-ORDER BSDES
成果类型：
Article
署名作者：
Possamai, Dylan; Tan, Xiaolu
署名单位：
Universite PSL; Universite Paris-Dauphine
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/14-AAP1055
发表日期：
2015
页码：
2535-2562
关键词：
摘要：
We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a convergence result for a class of 2BSDEs, using both robustness properties of BSDEs, as proved in Briand, Delyon and Memin [Stochastic Process. Appl. 97 (2002) 229-253], and tightness of solutions to discrete time BSDEs. In particular, when the approximating martingales are given by some particular controlled Markov chains, we obtain several concrete numerical schemes for 2BSDEs, which we illustrate on specific examples.