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Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
Probability, Uncertainty and Quantitative Risk Pub Date : 2022-01-01 , DOI: 10.3934/puqr.2022002
Dingqian Sun 1 , Gechun Liang 2 , Shanjian Tang 1
Affiliation  

<p style='text-indent:20px;'>We study the quantitative stability of solutions to Markovian quadratic reflected backward stochastic differential equations (BSDEs) with bounded terminal data. By virtue of bounded mean oscillation martingale and change of measure techniques, we obtain stability estimates for the variation of the solutions with different underlying forward processes. In addition, we propose a truncated discrete-time numerical scheme for quadratic reflected BSDEs and obtain the explicit rate of convergence by applying the quantitative stability result.</p>

中文翻译:

带反射的马尔可夫二次 BSDE 的定量稳定性和数值分析

<p style='text-indent:20px;'>我们研究了带有有界终端数据的马尔可夫二次反射后向随机微分方程 (BSDE) 解的定量稳定性。通过有界平均振荡鞅和测量技术的变化,我们获得了具有不同基础前向过程的解的变化的稳定性估计。此外,我们提出了一种截断离散时间二次反射BSDE的数值格式,并通过应用定量稳定性结果获得了显式收敛速度。</p>
更新日期:2022-01-01
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