Malliavin Regularity of Non-Markovian Quadratic BSDEs and Their Numerical Schemes

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...

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Bibliographic Details
Main Authors: Salima Doubbakh, Nabil Khelfallah, Mhamed Eddahbi, Anwar Almualim
Format: Article
Language:English
Published: MDPI AG 2023-04-01
Series:Axioms
Subjects:
quadratic backward stochastic differential equations
Malliavin calculus
explicit scheme
implicit scheme
rate of convergence
Hölder continuity
Online Access:https://www.mdpi.com/2075-1680/12/4/366

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https://www.mdpi.com/2075-1680/12/4/366

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