A generalized \(\theta\)-scheme for solving backward stochastic differential equations (Q432591)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized \(\theta\)-scheme for solving backward stochastic differential equations |
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A generalized \(\theta\)-scheme for solving backward stochastic differential equations (English)
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4 July 2012
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A new \(\theta\)-scheme is presented for solving the backward stochastic differential equation \[ y_t= \xi+ \int^T_t f(s,y_s, z_s)\,ds- \int^T_t z_s dW_s, \] where \(W_t\) is a standard \(d\)-dimensional Brownian motion. Error estimates yielding favorable convergence rates are derived. Data for two examples are analyzed to demonstrate that the favorable convergence rates are obtained in practice.
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backward stochastic differential equations
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\(\theta\)-scheme
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error estimate
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second order
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numerical tests
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