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Weak approximation of second-order BSDEs

Possamaï, Dylan; Tan, Xiaolu (2015), Weak approximation of second-order BSDEs, The Annals of Applied Probability, 25, 5, p. 2535-2562. 10.1214/14-AAP1055

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Type
Article accepté pour publication ou publié
Date
2015
Nom de la revue
The Annals of Applied Probability
Volume
25
Numéro
5
Éditeur
Institute of Mathematical Statistics
Pages
2535-2562
Identifiant publication
Métadonnées
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Auteur(s)
Possamaï, Dylan
Tan, Xiaolu
Résumé (EN)
We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a convergence result for a class of 2BSDEs, using both robustness properties of BSDEs, as proved in Briand, Delyon and Mémin [Stochastic Process. Appl. 97 (2002) 229–253], and tightness of solutions to discrete time BSDEs. In particular, when the approximating martingales are given by some particular controlled Markov chains, we obtain several concrete numerical schemes for 2BSDEs, which we illustrate on specific examples.
Mots-clés
robustness of BSDE; numerical scheme; weak approximation; Second order BSDEs