Numerical simulation of BSDEs with drivers of quadratic growth - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Numerical simulation of BSDEs with drivers of quadratic growth

Résumé

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 non uniform time net for such BSDEs and we obtain an explicit convergence rate for this scheme.
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Dates et versions

hal-00443704 , version 1 (03-01-2010)
hal-00443704 , version 2 (24-02-2010)
hal-00443704 , version 3 (23-08-2010)
hal-00443704 , version 4 (09-01-2012)

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Citer

Adrien Richou. Numerical simulation of BSDEs with drivers of quadratic growth. 2010. ⟨hal-00443704v3⟩
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