Second order discretization of Backward SDEs
Probability
2010-12-30 v1 Numerical Analysis
Abstract
In [5] the authors suggested a new algorithm for the numerical approximation of a BSDE by merging the cubature method with the first order discretization developed by [3] and [16]. Though the algorithm presented in [5] compared satisfactorily with other methods it lacked the higher order nature of the cubature method due to the use of the low order discretization. In this paper we introduce a second order discretization of the BSDE in the spirit of higher order implicit-explicit schemes for forward SDEs and predictor corrector methods.
Cite
@article{arxiv.1012.5650,
title = {Second order discretization of Backward SDEs},
author = {Dan Crisan and Konstantinos Manolarakis},
journal= {arXiv preprint arXiv:1012.5650},
year = {2010}
}
Comments
14 pages