NUMERICAL SIMULATION OF BSDES WITH DRIVERS OF QUADRATIC GROWTH

• 成果类型: Article
• 署名作者: Richou, Adrien
• 署名单位: Universite de Rennes
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/10-AAP744
• 发表日期: 2011
• 页码: 1933-1964
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; pdes

摘要

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.