摘要
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.
基金
supported by China Scholarship Council.Gechun Liang is partially supported by the National Natural Science Foundation of China(Grant No.12171169)
Guangdong Basic and Applied Basic Research Foundation(Grant No.2019A1515011338)
GL thanks J.F.Chassagneux and A.Richou for helpful and inspiring discussions on how to extend to the state dependent volatility case.Shanjian Tang is partially supported by National Science Foundation of China(Grant No.11631004)
National Key R&D Program of China(Grant No.2018YFA0703903).
