To obtain the rate of convergence of numerical solutions for backward stochastic differential equations $dY_t=-f(t, Y_t, Z_t)dt+Z_tdW_t$, $Y_T=xi$, where $f$ and $xi$ are given, one needs to know the Holder continuity of the solution pair $(Y_t, Z_t)$. In this work, expression of $Z_t$ as a Malliavin derivative of $Y_t$ are fully explored to obtain sharp proprties of the solution. These are necessary to the rate of convergence of some numerical schemes.
Speaker: Yaozhong Hu, University of Kansas
Slides: (TBA)
Event Details
Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Event Date: November 2, 2010
- Event End Date: November 2, 2010
- Event Start Time: 11:00 AM
- Event End Time: 12:00 PM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Yaozhong Hu, University of Kansas