L2-time regularity of BSDEs with irregular terminal functions

2010

52 citations recorded by the source corpus.

Citations in the corpus

Numerical simulation of BSDEs with drivers of quadratic growth (2010, unknown): “MR2152657 [12] Gobet, E. and Makhlouf, A. (2010).”
RUNGE-KUTTA SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS (2014, unknown): “Under weak regularity assumption on the coefficient g, the order 12 can be retrieved; see, for example, [2, 5, 7, 8, 17].”
Least-Squares Monte Carlo for Backward SDEs (2012, unknown): “When the terminal condition g is less regular than Lipschitz continuous, a time discretization error of order 1/2 can still be achieved in many cases by choosing appropriate, possibly non-equidistant, partitions, see Gobet and Makhlouf (2010).”
Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition (2011, unknown): “in Section 1, we formulate in Section 1.2 our concept of functional fractional smoothness of a BSDE and characterize this smoothness in various ways. Here we partly transfer the results from [10] and [14] from the case ξ= g(XT) to the path-dependent one. In Section 2.2 we present two suﬃcient condit”
Numerical simulation of quadratic BSDEs (2013, unknown): “>0. Letusconcludethisreviewwiththecaseofnon-Lipschitzboundedterminalcondition. In this case - even in the Lipschitz setting for the generator - new diﬃculties arise in thesimulationofBSDEs,seee.g. [24]. Inthequadraticcase,when˙isbounded,itis possibletouseestimatesoftheform jZ tj6 C p T (t ; or jZ”