Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : We 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 (04), and 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.
 
 
Strong Approximations of BSDEs in a domain
BOUCHARD Bruno, MENOZZI Stephane
2007-47
23-10-2007
 
Université de PARIS - DAUPHINE
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