Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations
Peng, Shige ; Xu, Mingyu
ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Tome 45 (2011), p. 335-360 / Harvested from Numdam
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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.

Publié le : 2011-01-01
DOI : https://doi.org/10.1051/m2an/2010059
Classification:  60H10,  34K28 
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     author = {Peng, Shige and Xu, Mingyu},
     title = {Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations},
     journal = {ESAIM: Mathematical Modelling and Numerical Analysis - Mod\'elisation Math\'ematique et Analyse Num\'erique},
     volume = {45},
     year = {2011},
     pages = {335-360},
     doi = {10.1051/m2an/2010059},
     mrnumber = {2804642},
     zbl = {1269.65008},
     language = {en},
     url = {http://dml.mathdoc.fr/item/M2AN_2011__45_2_335_0}
}

Peng, Shige; Xu, Mingyu. Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations. ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Tome 45 (2011) pp. 335-360. doi : 10.1051/m2an/2010059. http://gdmltest.u-ga.fr/item/M2AN_2011__45_2_335_0/

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