Differentiability of quadratic forward-backward SDEs with rough drift

arXiv2210.05622MaRDI QIDQ6413593FDOQ6413593

Authors: P. Imkeller, Rhoss Likibi Pellat, Olivier Menoukeu-Pamen 

Publication date: 11 October 2022

Abstract: In this paper, we consider quadratic forward-backward SDEs (QFBSDEs), for {which} the drift in the forward equation does not satisfy the standard globally Lipschitz condition and the driver of the backward system {possesses} nonlinearity of type $f(|y|)|z{|}^2,$ where $f$ is any locally integrable function. We prove both the Malliavin and classical derivative of the QFBSDE and provide representations of these processes. We study a numerical approximation of this system in the sense of cite{ImkDosReis} in which the authors assume that the drift is Lipschitz and the driver of the BSDE is quadratic in the traditional sense (i.e., $f$ is a positive constant). We show that the rate of convergence is the same as in cite{ImkDosReis}

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Quasilinear parabolic equations (35K59) Second-order parabolic equations (35K10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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