A numerical scheme for BSDEs
Zhang, Jianfeng
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 459-488 / Harvested from Project Euclid
In this paper we propose a numerical scheme for a class of backward stochastic differential equations (BSDEs) with possible path-dependent terminal values. We prove that our scheme converges in the strong $L^2$ sense and derive its rate of convergence. As an intermediate step we prove an $L^2$-type regularity of the solution to such BSDEs. Such a notion of regularity, which can be thought of as the modulus of continuity of the paths in an $L^2$ sense, is new. Some other features of our scheme include the following: (i) both components of the solution are approximated by step processes (i.e., piecewise constant processes); (ii) the regularity requirements on the coefficients are practically "minimum"; (iii) the dimension of the integrals involved in the approximation is independent of the partition size.
Publié le : 2004-02-14
Classification:  Backward SDEs,  $L^\infty$-Lipschitz functionals,  step processes,  $L^2$-regularity,  60H10,  65C30
@article{1075828058,
     author = {Zhang, Jianfeng},
     title = {A numerical scheme for BSDEs},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 459-488},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1075828058}
}
Zhang, Jianfeng. A numerical scheme for BSDEs. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  459-488. http://gdmltest.u-ga.fr/item/1075828058/