
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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Article accepté pour publication ou publiéDate
2015Nom de la revue
The Annals of Applied ProbabilityVolume
25Numéro
5Éditeur
Institute of Mathematical Statistics
Pages
2535-2562
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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 BSDEsPublications associées
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