Open AccessQuantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
Author(s) -
Dingqian Sun,
Gechun Liang,
Shanjian Tang
Publication year - 2022
Publication title -
probability, uncertainty and quantitative risk
Language(s) - English
Resource type - Journals
eISSN - 2095-9672
pISSN - 2367-0126
DOI - 10.3934/puqr.2022002
Subject(s) - martingale (probability theory) , quadratic equation , mathematics , stochastic differential equation , bounded function , quadratic growth , stability (learning theory) , rate of convergence , markov process , quadratic variation , mathematical analysis , computer science , computer network , channel (broadcasting) , statistics , geometry , machine learning , brownian motion
We study the quantitative stability of solutions to Markovian quadratic reflected backward stochastic differential equations (BSDEs) with bounded terminal data. By virtue of bounded mean oscillation 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.