Journal article
MALLIAVIN CALCULUS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND APPLICATION TO NUMERICAL SOLUTIONS
The Annals of applied probability, v 21(6), pp 2379-2423
01 Dec 2011
Abstract
In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be given by a forward diffusion equation. The randomness of the generator does not need to be from a forward equation, either. Motivated from applications to numerical simulations, first we obtain the L(p)-Holder continuity of the solution. Then we construct several numerical approximation schemes for backward stochastic differential equations and obtain the rate of convergence of the schemes based on the obtained L(p)-Holder continuity results. The main tool is the Malliavin calculus.
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Details
- Title
- MALLIAVIN CALCULUS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND APPLICATION TO NUMERICAL SOLUTIONS
- Creators
- Yaozhong Hu - University of KansasDavid Nualart - University of KansasXiaoming Song - University of Kansas
- Publication Details
- The Annals of applied probability, v 21(6), pp 2379-2423
- Publisher
- Inst Mathematical Statistics
- Number of pages
- 45
- Grant note
- DMS-05-04783; DMS-09-04538 / NSF; National Science Foundation (NSF)
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Mathematics
- Web of Science ID
- WOS:000298249900011
- Scopus ID
- 2-s2.0-82655181331
- Other Identifier
- 991021864456104721
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Web of Science research areas
- Statistics & Probability