Numerical simulation of BSDEs with drivers of quadratic growth

Adrien Richou (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

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.

Mots clés: Backward stochastic differential equations; driver of quadratic growth; time discretization scheme

Domaines: Probabilités [math.PR]

Adrien Richou. Numerical simulation of BSDEs with drivers of quadratic growth. The Annals of Applied Probability, 2011, 21 (5), pp.1933-1964. ⟨10.1214/10-AAP744⟩. ⟨hal-00443704v4⟩