Weak approximation of second-order BSDEs

DOI10.1214/14-AAP1055zbMATH Open1325.60117arXiv1310.1173OpenAlexW2119111478MaRDI QIDQ748313FDOQ748313

Authors: Dylan Possamaï, Xiaolu Tan 

Publication date: 20 October 2015

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

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.

Full work available at URL: https://arxiv.org/abs/1310.1173

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zbMATH Keywords

robustnessmartingalesbackward stochastic differential equationsnumerical schemeweak approximation

Mathematics Subject Classification ID

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)

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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

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