# Numerical simulation of quadratic BSDEs

* Auteur correspondant
Abstract : This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to $z$ and bounded terminal conditions. We first study a slight modification of the classical dynamic programming equation arising from the time-discretization of BSDEs. By using a linearization argument and BMO martingales tools, we obtain a comparison theorem, a priori estimates and stability results for the solution of this scheme. Then we provide a control on the time-discretization error of order $\frac{1}{2}-\varepsilon$ for all $\varepsilon>0$. In the last part, we give a fully implementable algorithm for quadratic BSDEs based on quantization and illustrate our convergence results with numerical examples.
Type de document :
Pré-publication, Document de travail
2014
Domaine :

https://hal.archives-ouvertes.fr/hal-00990555
Soumis le : lundi 22 septembre 2014 - 15:56:51
Dernière modification le : lundi 13 octobre 2014 - 15:43:25

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CR13_rev1.pdf
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• HAL Id : hal-00990555, version 2

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