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arXiv · 2010.05707

Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection

Dingqian Sun·Gechun Liang·Shanjian Tang
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Abstract

We study the quantitative stability of the solutions to Markovian quadratic reflected BSDEs with bounded terminal data. By virtue of BMO martingale and change of measure techniques, we obtain stability estimates for the variation of the solutions with different underlying forward processes. In addition, we propose a truncated discrete-time numerical scheme for quadratic reflected BSDEs, and obtain the explicit rate of convergence by applying the quantitative stability result.

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Dingqian Sun, Gechun Liang, Shanjian Tang. 2020-10-12. Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. https://arxiv.org/abs/2010.05707

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