Backward stochastic differential equations with rough drivers
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Publication:439882
DOI10.1214/11-AOP660zbMATH Open1259.60057arXiv1008.0290OpenAlexW2962676822MaRDI QIDQ439882FDOQ439882
Authors: Joscha Diehl, Peter Friz 
Publication date: 17 August 2012
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: Backward stochastic differential equations (BSDEs) in the sense of Pardoux-Peng [Backward stochastic differential equations and quasilinear parabolic partial differential equations, Lecture Notes in Control and Inform. Sci., 176, 200--217, 1992] provide a non-Markovian extension to certain classes of non-linear partial differential equations; the non-linearity is expressed in the so-called driver of the BSDE. Our aim is to deal with drivers which have very little regularity in time. To this end we establish continuity of BSDE solutions with respect to rough path metrics in the sense of Lyons [Differential equations driven by rough signals. Rev. Mat. Iberoamericana 14, no. 2, 215--310, 1998] and so obtain a notion of "BSDE with rough driver". Existence, uniqueness and a version of Lyons' limit theorem in this context are established. Our main tool, aside from rough path analysis, is the stability theory for quadratic BSDEs due to Kobylanski [Backward stochastic differential equations and partial differential equations with quadratic growth. Ann. Probab., 28(2):558--602, 2000].
Full work available at URL: https://arxiv.org/abs/1008.0290
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