Malliavin Regularity of NonMarkovian 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 Lq, (q 2) existence and uniqueness results for QBSDE. Secondly, the Lp Hölder continuity of the solutions is established for (q > 4 and 2 p < q2). Then, we analyze some numerical schemes for our systems and establish their rates of convergence. Moreover, our results are illustrated with three examples..
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…
This paper tackles a stochastic control problem involving a backward stochastic
differential equation (BSDE) with a local Lipschitz coefficient and logarithmic growth.
We derive the…