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dc.contributor.authorMenozzi, Stéphane
dc.contributor.authorBouchard, Bruno
dc.date.accessioned2010-03-15T12:45:30Z
dc.date.available2010-03-15T12:45:30Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3684
dc.language.isoenen
dc.subjectApproximation a temps discreten
dc.subjectEDS progressives retrogradesen
dc.subjectProbleme de Cauchy semilineaireen
dc.subject.ddc519en
dc.titleStrong Approximations of BSDEs in a domainen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe study the strong approximation of a Backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler scheme approach of Bouchard and Touzi, Zhang 04}. When the domain is piecewise smooth and under a non-characteristic boundary condition, we show that the associated strong error is at most of order $h^{\frac14-\eps}$ where $h$ denotes the time step and $\eps$ is any positive parameter. This rate corresponds to the strong exit time approximation. It is improved to $h^{\frac12-\eps}$ when the exit time can be exactly simulated or for a weaker form of the approximation error. Importantly, these results are obtained without uniform ellipticity condition.en
dc.relation.isversionofjnlnameBernoulli
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2009
dc.relation.isversionofjnlpages1117-1147en
dc.relation.isversionofdoihttp://dx.doi.org/10.3150/08-BEJ181en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00177481/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherBernoulli Societyen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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