• search hit 6 of 38
Back to Result List

Path regularity and explicit truncation order for BSDE with drivers of quadratic growth

Please always quote using this URN:urn:nbn:de:0296-matheon-9896
  • We consider backward stochastic differential equations with drivers of quadratic growth (qgBSDE). We prove several statements concerning path regularity and stochastic smooth- ness 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 the same result for qgBSDE.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Peter Imkeller, Goncalo Dos Reis
URN:urn:nbn:de:0296-matheon-9896
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2012/01/27
Release Date:2012/01/27
Institute:Humboldt-Universität zu Berlin
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G17 Sample path properties
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H07 Stochastic calculus of variations and the Malliavin calculus
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H30 Applications of stochastic analysis (to PDE, etc.)
65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C30 Stochastic differential and integral equations
Preprint Number:888
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.