Malliavin calculus for backward stochastic differential equations and application to numerical solutions

DOI10.1214/11-AAP762zbMath1246.60081arXiv1202.4625OpenAlexW3099042891MaRDI QIDQ657705

David Nualart, Yaozhong Hu, Xiao-Ming Song

Publication date: 10 January 2012

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

Full work available at URL: https://arxiv.org/abs/1202.4625

zbMATH Keywords

rate of convergenceMalliavin calculusimplicit schemebackward stochastic differential equationexplicit schemeClark-Ocone-Haussman formulaHölder continuity of solutions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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