Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions

Plamen Turkedjiev (1)

1 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

Two discretizations of a novel class of Markovian backward stochastic differential equations (BSDEs) are studied. The first is the classical Euler scheme which approximates a projection of the processes $Z$, and the second a novel scheme based on Malliavin weights which approximates the mariginals of the process $Z$ directly.Extending the representation theorem of Ma and Zhang leads to advanced a priori estimates and stability results for this class of BSDEs.These estimates are then used to obtain competitive convergence rates for both schemes with respect to the number of points in the time-grid.The class of BSDEs considered includes Lipschitz BSDEs with fractionally smooth terminal condition as well as quadratic BSDEs with bounded, H\"older continuous terminal condition.

Mots clés: Backward stochastic differential equations; approximation schemes; Malliavin calculus; representation theorem; a priori estimates

Domaines: Probabilités [math.PR]; Analyse numérique [math.NA]

Plamen Turkedjiev. Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions. 2013. ⟨hal-00862848v2⟩