Error estimates of the \(\theta\)-scheme for backward stochastic differential equations (Q1045766): Difference between revisions
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Latest revision as of 14:55, 10 December 2024
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English | Error estimates of the \(\theta\)-scheme for backward stochastic differential equations |
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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations (English)
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16 December 2009
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Error bounds are derived for the \(\theta\)-scheme for approximating the solution of the backward stochastic differential equation \[ y_t= \varphi(W_T)+ \int^T_t f(s, y_s)\,ds- \int^T_t z_s\,dW_s, \] where \(W_t\) is standard Brownian motion. It is proved that convergence to \(y_t\) is of second-order when \(\theta={1\over 2}\) and of first-order otherwise, and that convergence to \(z_t\) is of first-order when \(\theta={1\over 2},\,1\). The accuracy of the method and the convergence rates are illustrated by results for three examples whose exact solutions are known.
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backward stochastic differential equations
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\(\theta\)-scheme
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error estimate
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