A generalized scheme for BSDEs based on derivative approximation and its error estimates
Numerical Analysis
2018-08-09 v1 Probability
Mathematical Finance
Abstract
In this paper we propose a generalized numerical scheme for backward stochastic differential equations(BSDEs). The scheme is based on approximation of derivatives via Lagrange interpolation. By changing the distribution of sample points used for interpolation, one can get various numerical schemes with different stability and convergence order. We present a condition for the distribution of sample points to guarantee the convergence of the scheme.
Keywords
Cite
@article{arxiv.1808.02478,
title = {A generalized scheme for BSDEs based on derivative approximation and its error estimates},
author = {Chol-Kyu Pak and Mun-Chol Kim and O Hun},
journal= {arXiv preprint arXiv:1808.02478},
year = {2018}
}
Comments
11 pages, 1 table. arXiv admin note: text overlap with arXiv:1808.01564