A numerical scheme for BSDEs
نویسندگان
چکیده
منابع مشابه
A Numerical Scheme for Bsdes
In this paper we propose a numerical scheme for a class of backward stochastic differential equations (BSDEs) with possible path-dependent terminal values. We prove that our scheme converges in the strong L2 sense and derive its rate of convergence. As an intermediate step we prove an L2-type regularity of the solution to such BSDEs. Such a notion of regularity, which can be thought of as the m...
متن کاملNumerical Stability Analysis of the Euler Scheme for BSDEs
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient conditions in the one-dimensional and multidimensional case to guarantee the numerical stability. We then perform a classical Von Neumann stability analysis in the case of...
متن کاملA numerical scheme for space-time fractional advection-dispersion equation
In this paper, we develop a numerical resolution of the space-time fractional advection-dispersion equation. We utilize spectral-collocation method combining with a product integration technique in order to discretize the terms involving spatial fractional order derivatives that leads to a simple evaluation of the related terms. By using Bernstein polynomial basis, the problem is transformed in...
متن کاملA numerical scheme for solving nonlinear backward parabolic problems
In this paper a nonlinear backward parabolic problem in one dimensional space is considered. Using a suitable iterative algorithm, the problem is converted to a linear backward parabolic problem. For the corresponding problem, the backward finite differences method with suitable grid size is applied. It is shown that if the coefficients satisfy some special conditions, th...
متن کاملNumerical simulation of quadratic BSDEs
This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to z and bounded terminal conditions. We first study a slight modification of the classical dynamic programming equation arising from the time-discretization of BSDEs. By using a linearization argument and BMO martingales tools, we ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2004
ISSN: 1050-5164
DOI: 10.1214/aoap/1075828058