Path regularity and explicit convergence rate for BSDE with truncated quadratic growth (Q2267520)
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English | Path regularity and explicit convergence rate for BSDE with truncated quadratic growth |
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Path regularity and explicit convergence rate for BSDE with truncated quadratic growth (English)
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1 March 2010
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The paper considers backward stochastic differential equations with drivers of quadratic growth (qgBSDE). Several statements concerning regularity and stochastic smoothness of the solution processes of the qgBSDE are proven. In particular, Zhang's path regularity theorem is extended to the quadratic growth setting. An alternative proof of second order Malliavin differentiability for BSDE with drivers that are Lipschitz continuous and differentiable is given, and an analogous result for qgBSDE is derived. Explicit convergence rates for the difference between the solution of a qgBSDE and its truncation is given. Since there exists numerical schemes for the truncation these rates can be used to device numerical schemes for qgBSDE's. Unfortunately, as remarked by the authors the time step \(h\) in this numerical scheme must decrease exponentially fast with the truncation order.
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BSDE
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Driver of quadratic growth
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Malliavin calculus
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Path regularity
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BMO martingales
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Numerical scheme
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Truncation
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