Numerical simulation of quadratic BSDEs
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Publication:259576
DOI10.1214/14-AAP1090zbMATH Open1334.60129arXiv1307.5741OpenAlexW1593490009MaRDI QIDQ259576FDOQ259576
Authors: Jean-Francois Chassagneux, Adrien Richou 
Publication date: 11 March 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to and bounded terminal conditions. We first study a slight modification of the classical dynamic programming equation arising from the time-discretization of BSDEs. By using a linearization argument and BMO martingales tools, we obtain a comparison theorem, a priori estimates and stability results for the solution of this scheme. Then we provide a control on the time-discretization error of order for all . In the last part, we give a fully implementable algorithm for quadratic BSDEs based on quantization and illustrate our convergence results with numerical examples.
Full work available at URL: https://arxiv.org/abs/1307.5741
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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