Código QR (código de barras bidimensional)

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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Principais autores: Salima Doubbakh, Nabil Khelfallah, Mhamed Eddahbi, Anwar Almualim
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2023-04-01
Serier:Axioms
Fag:
quadratic backward stochastic differential equations
Malliavin calculus
explicit scheme
implicit scheme
rate of convergence
Hölder continuity
Online adgang:https://www.mdpi.com/2075-1680/12/4/366
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