Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

DOI10.1016/j.spa.2009.11.004zbMath1196.60101arXiv0905.0788OpenAlexW2104540101MaRDI QIDQ2267520

Gonçalo dos Reis, Peter Imkeller

Publication date: 1 March 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.0788

zbMATH Keywords

Malliavin calculusBMO martingalesBSDETruncationDriver of quadratic growthNumerical schemePath regularity

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Continuous exponential martingales and BMO
• A numerical scheme for BSDEs
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Classical and variational differentiability of BSDEs with quadratic growth
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
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