Numerical simulation of BSDEs with drivers of quadratic growth

By Adrien Richou. 2010

52 citations recorded by the source corpus.

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.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d755baadd413b7ad3832f6d07ab81325d2b0bca9

How researchers see this paper

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In Demography

1. Christian Bender
2. Jessica Steiner

In Finance

1. Jessica Steiner
2. Christian Bender
3. Joachim Lebovits
4. Frederi G. Viens
5. David Nualart
6. Oana Mocioalca
7. Patrick Cheridito

In Management Science and Operations Research

1. Christian Bender
2. Jessica Steiner

Citations in the corpus

• Least-Squares Monte Carlo for Backward SDEs (2012, methodology): “Some first results on the time discretization of BSDEs with quadratic growth of the driver f in the z-variable can be found in Imkeller et al. (2010) and Richou (2010).”
• Numerical simulation of quadratic BSDEs (2013, unknown): “The time discretization problem is addressed in [39] and the approximation of discretized BSDEs thanks to least-squares regression is tackled in the paper [25].”