Apr 2013- Mar 2014
Math-Fi seminar on 5 Sep.
2013.08.28 Wed up
- Date : 5 Sep. (Thu)
- Place: W.W. 7th-floor, 4th lab.
- Time : 14:30 – 16:00
- Speaker: Song Xiaoming (Ritsumeikan University)
- Title: Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Abstract: In this work we study backward stochastic differential equations with general terminal value and general random generator. In particular, we don’t require the terminal value be given by a forward diffusion equation. The randomness of the generator does not need to be from a forward equation neither. Motivated from applications to numerical simulations, first we obtain the $L^p$-H\”older continuity of the solution. Then, we construct several numerical approximation schemes for backward stochastic differential equations and obtain the rate of convergence of the schemes based on the obtained $L^p$-H\”older continuity results. The main tool is the Malliavin calculus.
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