论文标题
具有反射的马尔可夫二次BSDE的定量稳定性和数值分析
Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
论文作者
论文摘要
我们研究了具有有界终端数据的Markovian二次反射BSDE的溶液的定量稳定性。借助BMO Martingale和测量技术的变化，我们获得了具有不同基础前向过程的解决方案变化的稳定性估计。此外，我们为二次反映的BSDE提出了一个截断的离散时间数值方案，并通过应用定量稳定性结果来获得明确的收敛速率。
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.
