Numerical Algorithms for 1-d Backward Stochastic Differential Equations: Convergence and Simulations

Shige Peng; Mingyu Xu

Numerical Algorithms for 1-d Backward Stochastic Differential Equations: Convergence and Simulations

Probability 2009-09-23 v5

Authors: Shige Peng , Mingyu Xu

Abstract

In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are introduced. Then we prove the convergence of different algorithms and present simulation results for different types of BSDEs.

Keywords

backward stochastic differential equations reflected backward stochastic differential equations stochastic differential equations

Cite

@article{arxiv.math/0611864,
  title  = {Numerical Algorithms for 1-d Backward Stochastic Differential Equations: Convergence and Simulations},
  author = {Shige Peng and Mingyu Xu},
  journal= {arXiv preprint arXiv:math/0611864},
  year   = {2009}
}

Comments

29 pages, 8 figures

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