Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic stability in control theory (93E15)
Abstract: We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a convergence result for a class of 2BSDEs, using both robustness properties of BSDEs, as proved in Briand, Delyon and M'{e}min [Stochastic Process. Appl. 97 (2002) 229-253], and tightness of solutions to discrete time BSDEs. In particular, when the approximating martingales are given by some particular controlled Markov chains, we obtain several concrete numerical schemes for 2BSDEs, which we illustrate on specific examples.
Recommendations
- Second order discretization of backward SDEs and simulation with the cubature method
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
- scientific article; zbMATH DE number 1069628
- Numerical method for backward stochastic differential equations
Cites work
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 53999 (Why is no real title available?)
- scientific article; zbMATH DE number 3638844 (Why is no real title available?)
- A fast algorithm for the two dimensional HJB equation of stochastic control
- A monotone scheme for high-dimensional fully nonlinear PDEs
- A numerical scheme for BSDEs
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- A splitting method for fully nonlinear degenerate parabolic PDEs
- Adapted solution of a backward stochastic differential equation
- Applications of weak convergence for hedging of game options
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Numerical method for backward stochastic differential equations
- On pathwise stochastic integration
- On the robustness of backward stochastic differential equations.
- On tightness and stopping times
- Quasi-sure stochastic analysis through aggregation
- Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- Stochastic integration and \(L^ p-\)theory of semimartingales
- Stochastic optimal control. The discrete time case
- Weak approximation of \(G\)-expectations
- Wellposedness of second order backward SDEs
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
Cited in
(8)- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Duality and approximation of stochastic optimal control problems under expectation constraints
- Stability results for martingale representations: the general case
- Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
- On the convergence of monotone schemes for path-dependent PDEs
- BSDEs with regime switching: weak convergence and applications
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
- Reflections on BSDEs
This page was built for publication: Weak approximation of second-order BSDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q748313)
