Numerical simulation of BSDEs with drivers of quadratic growth

DOI10.1214/10-AAP744zbMATH Open1274.60221arXiv1001.0401OpenAlexW2150185235MaRDI QIDQ655587FDOQ655587

Adrien Richou

Publication date: 4 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: This article deals with the numerical resolution of Markovian backward stochastic differential equations (BSDEs) with drivers of quadratic growth with respect to $z$ and bounded terminal conditions. We first show some bound estimates on the process $Z$ and we specify the Zhang's path regularity theorem. Then we give a new time discretization scheme with a non uniform time net for such BSDEs and we obtain an explicit convergence rate for this scheme.

Full work available at URL: https://arxiv.org/abs/1001.0401

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zbMATH Keywords

time discretization schemebsdesdriver of quadratic growth

Mathematics Subject Classification ID

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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Cited In (23)

• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
• Numerical simulation of quadratic BSDEs
• Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
• Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
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• A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
• Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
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• Simulation of BSDEs by Wiener chaos expansion
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• Least-Squares Monte Carlo for Backward SDEs
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• A Bismut-Elworthy formula for quadratic BSDEs
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• Numerical methods for backward stochastic differential equations: a survey
• Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation

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