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

Please always quote using this URN:urn:nbn:de:0296-matheon-6452
  • 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 the same result for qgBSDE.

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Metadaten
Author:Peter Imkeller, Gonçalo dos Reis
URN:urn:nbn:de:0296-matheon-6452
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2009/07/30
Release Date:2009/07/30
Tag:
Institute:Humboldt-Universität zu Berlin
Preprint Number:648
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