Adapted $\theta$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations
Numerical Analysis
2018-08-08 v1 Probability
Mathematical Finance
Abstract
In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional -scheme, we reduce truncation errors by taking carefully for every subinterval according to the characteristics of integrands. We give error estimates of this nonlinear scheme and verify the order of scheme through a typical numerical experiment.
Keywords
Cite
@article{arxiv.1808.02173,
title = {Adapted $\theta$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations},
author = {Chol-Kyu Pak and Mun-Chol Kim and Chang-Ho Rim},
journal= {arXiv preprint arXiv:1808.02173},
year = {2018}
}
Comments
18 pages, 3 tables, 1 figure