Numerical simulation of BSDEs with drivers of quadratic growth

Details Numerical simulation of BSDEs with drivers of quadratic growth Numerical simulation of BSDEs with drivers of quadratic growth

2010-01-03

arxiv.org/abs/1001.0401v4

Mathematics

Probability

Scientific paper

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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