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Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

Authors :
Imkeller, Peter
Reis, Goncalo dos
Source :
Stochastic Processes and Their Applications, 2010, 120, 348-379
Publication Year :
2009

Abstract

We consider backward stochastic differential equations with drivers of quadratic growth (qgBSDE). We prove several statements concerning path regularity and stochastic smoothness of the solution processes of the qgBSDE, in particular we prove an extension of Zhang's path regularity theorem to the quadratic growth setting. We give explicit convergence rates for the difference between the solution of a qgBSDE and its truncation, filling an important gap in numerics for qgBSDE. We give an alternative proof of second order Malliavin differentiability for BSDE with drivers that are Lipschitz continuous (and differentiable), and then derive an analogous result for qgBSDE.<br />Comment: 30 pages

Subjects

Subjects :
Mathematics - Probability
60H07

Details

Database :
arXiv
Journal :
Stochastic Processes and Their Applications, 2010, 120, 348-379
Publication Type :
Report
Accession number :
edsarx.0905.0788
Document Type :
Working Paper
Full Text :
https://doi.org/10.1016/j.spa.2009.11.004