NUMERICAL SIMULATION OF BSDES WITH DRIVERS OF QUADRATIC GROWTH

被引：28
作者：
Richou, Adrien [1 ]
机构：
[1] Univ Rennes 1, IRMAR, F-35042 Rennes, France
来源：
ANNALS OF APPLIED PROBABILITY | 2011年 / 21卷 / 05期
关键词：
BSDEs; driver of quadratic growth; time discretization scheme; STOCHASTIC DIFFERENTIAL-EQUATIONS; PDES;
D O I：
10.1214/10-AAP744
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
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.
引用
收藏
页码：1933 / 1964
页数：32
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