Malliavin calculus for backward stochastic differential equations and application to numerical solutions
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Publication:657705
DOI10.1214/11-AAP762zbMATH Open1246.60081arXiv1202.4625OpenAlexW3099042891MaRDI QIDQ657705FDOQ657705
David Nualart, Yaozhong Hu, Xiaoming Song
Publication date: 10 January 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be given by a forward diffusion equation. The randomness of the generator does not need to be from a forward equation, either. Motivated from applications to numerical simulations, first we obtain the -H"{o}lder continuity of the solution. Then we construct several numerical approximation schemes for backward stochastic differential equations and obtain the rate of convergence of the schemes based on the obtained -H"{o}lder continuity results. The main tool is the Malliavin calculus.
Full work available at URL: https://arxiv.org/abs/1202.4625
Malliavin calculusrate of convergencebackward stochastic differential equationexplicit schemeimplicit schemeClark-Ocone-Haussman formula[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder+continuity+of+solutions&go=Go H๏ฟฝ๏ฟฝlder continuity of solutions]
Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) 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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- Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
- Product Markovian quantization of a diffusion process with applications to finance
- Analytical Approximations of BSDEs with Nonsmooth Driver
- Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
- Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation
- An overview on deep learning-based approximation methods for partial differential equations
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales
- Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach
- Temporal semi-discretizations of a backward semilinear stochastic evolution equation
- \(L_{2}\)-variation of Lรฉvy driven BSDEs with non-smooth terminal conditions
- Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lรฉvy processes
- Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
- BSDEs generated by fractional space-time noise and related SPDEs
- \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application
- Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps
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- Numerical methods for backward stochastic differential equations: a survey
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