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arXiv · 1310.1173

Weak approximation of second-order BSDEs

Dylan Possamaï·Xiaolu Tan
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Abstract

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 M\'{e}min [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.

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Dylan Possamaï, Xiaolu Tan. 2013-10-04. Weak approximation of second-order BSDEs. https://doi.org/10.1214/14-aap1055

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