Adapted time steps explicit scheme for monotone BSDEs
Numerical Analysis
2016-12-02 v1
Abstract
We study the numerical strong stability of explicit schemes for the numerical approximation of the solution to a BSDE where the driver has polynomial growth in the primary variable and satisfies a monotone decreasing condition, and we introduce an explicit scheme with adapted time-steps that guarantee numerical strong stability. We then prove the convergence of this scheme and illustrate it with numerical simulations.
Cite
@article{arxiv.1612.00077,
title = {Adapted time steps explicit scheme for monotone BSDEs},
author = {Arnaud Lionnet},
journal= {arXiv preprint arXiv:1612.00077},
year = {2016}
}
Comments
31 pages