Numerical simulation of BSDEs with drivers of quadratic growth

Adrien Richou (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

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.

Domaines: Probabilités [math.PR]

Adrien Richou. Numerical simulation of BSDEs with drivers of quadratic growth. 2010. ⟨hal-00443704v1⟩