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

概率论 2009-09-23 v5

作者: Shige Peng , Mingyu Xu

摘要

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.

关键词

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

引用

@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}
}

备注

29 pages, 8 figures

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