 |
 |
|
|
| HAL: hal-00443704, version 1 |
| arXiv: 1001.0401 |
| Detailed view |  Export this paper |
 |
| Available versions: | v1 (2010-01-03) | v2 (2010-02-24) | v3 (2010-08-23) | v4 (2012-01-09) |
|
|
|
|
| Numerical simulation of BSDEs with drivers of quadratic growth |
|
|
| Adrien Richou 1 |
|
|
| (2010-01-03) |
|
|
|
| We consider Markovian backward stochastic differential equations (BSDEs) with drivers of quadratic growth and bounded terminal conditions. We first show some bound estimations on the process $Z$. Then we give a new time discretization scheme for such BSDEs and we obtain an explicit convergence rate for this scheme. |
|
|
|
|
|
|
|
|
|
|
|
| 1: | Institut de Recherche Mathématique de Rennes (IRMAR) |
|
|
|
CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
|
|
|
|
|
|
|
|
|
| Subject | : | Mathematics/Probability |
|
|
| Attached file list to this document: | ||||||||||
|
||||||||||
|
|
|
| hal-00443704, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00443704 | |
| oai:hal.archives-ouvertes.fr:hal-00443704 | |
| From: Adrien Richou | |
| Submitted on: Sunday, 3 January 2010 19:55:53 | |
| Updated on: Friday, 8 January 2010 13:36:10 | |
