Numerical stability analysis of the Euler scheme for BSDEs
Probability
2014-07-04 v1
Abstract
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient conditions in the one-dimensional and multidimensional case to guarantee the numerical stability. We then perform a classical Von Neumann stability analysis in the case of a linear driver and exhibit necessary conditions to get stability in this case. Finally, we illustrate our results with numerical applications.
Keywords
Cite
@article{arxiv.1407.0887,
title = {Numerical stability analysis of the Euler scheme for BSDEs},
author = {Jean-François Chassagneux and Adrien Richou},
journal= {arXiv preprint arXiv:1407.0887},
year = {2014}
}