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| HAL : hal-00443704, version 4 |
| arXiv : 1001.0401 |
| DOI : 10.1214/10-AAP744 |
| Fiche détaillée |  Récupérer au format |
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| Annals of Applied Probability 21, 5 (2011) 1933-1964 |
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| Versions disponibles : | v1 (03-01-2010) | v2 (24-02-2010) | v3 (23-08-2010) | v4 (09-01-2012) |
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| Numerical simulation of BSDEs with drivers of quadratic growth |
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| Adrien Richou 1 |
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| (2011) |
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| 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. |
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| 1 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – INSA Rennes – Université Rennes II |
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| Processus stochastiques |
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| Domaine | : | Mathématiques/Probabilités |
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| Backward stochastic differential equations – driver of quadratic growth – time discretization scheme |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00443704, version 4 | |
| http://hal.archives-ouvertes.fr/hal-00443704 | |
| oai:hal.archives-ouvertes.fr:hal-00443704 | |
| Contributeur : Adrien Richou | |
| Soumis le : Lundi 9 Janvier 2012, 09:20:32 | |
| Dernière modification le : Mercredi 11 Janvier 2012, 10:04:31 | |
