کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156081 | 958800 | 2010 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 120, Issue 3, March 2010, Pages 348–379
Journal: Stochastic Processes and their Applications - Volume 120, Issue 3, March 2010, Pages 348–379
نویسندگان
Peter Imkeller, Gonçalo Dos Reis,