Strong Approximations of BSDEs in a domain
| dc.creator | Bouchard, Bruno | |
| dc.creator | Menozzi, Stephane | |
| dc.date | 2007-10-08 | |
| dc.date | 2008-09-15 | |
| dc.date.accessioned | 2026-07-07T10:02:24Z | |
| dc.date.available | 2026-07-07T10:02:24Z | |
| dc.description | We study the strong approximation of a Backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler scheme approach of Bouchard and Touzi, Zhang 04}. When the domain is piecewise smooth and under a non-characteristic boundary condition, we show that the associated strong error is at most of order $h^{\frac14-\eps}$ where $h$ denotes the time step and $\eps$ is any positive parameter. This rate corresponds to the strong exit time approximation. It is improved to $h^{\frac12-\eps}$ when the exit time can be exactly simulated or for a weaker form of the approximation error. Importantly, these results are obtained without uniform ellipticity condition. | |
| dc.description | 35 pages | |
| dc.identifier | https://arxiv.org/abs/0710.1519 | |
| dc.identifier | http://arxiv.org/abs/0710.1519 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/168963 | |
| dc.subject | Probability | |
| dc.subject | 65C99, 60H30, 35K20 | |
| dc.title | Strong Approximations of BSDEs in a domain | |
| dc.type | text |