Malliavin Regularity of Non-Markovian Quadratic BSDEs and Their Numerical Schemes
We study both Malliavin regularity and numerical approximation schemes for a class of quadratic backward stochastic
differential equations (QBSDEs for short) in cases where the terminal data need not be a function of a forward diffusion. By using the connection between the QBSDE under study and some backward stochastic differential equations (BSDEs) with global Lipschitz coefficients, we firstly prove $L^{q}$, $(q\geq 2)$ existence and uniqueness results for QBSDE. Secondly, the $L^{p}%
$-H\"older continuity of the solutions is established for ($q>4$ and $2\leq p<\frac{q}{2}$). Then, we analyze some numerical schemes for our systems and establish their rates of convergence. Moreover, our results are illustrated with three examples.
This paper deals with numerical analysis of solutions to stochastic differential equations
with jumps (SDEJs) with measurable drifts that may have quadratic growth. The main tool used is…
In this paper we are interested in solving numerically quadratic SDEs with non-necessary continuous drift of the from
\begin{equation*}
X_{t}=x+\int_{0}^{t}b(s,X_{s})ds+\int_{0}^{t}f(…
We study both Malliavin regularity and numerical approximation schemes for a class of quadratic backward stochastic