Numerical Stability Analysis of the Euler Scheme for BSDEs

DOI10.1137/140977047zbMath1311.93088arXiv1407.0887OpenAlexW1974555191MaRDI QIDQ5253605

Jean-François Chassagneux, Adrien Richou

Publication date: 27 May 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.0887

zbMATH Keywords

approximationnumerical stabilityEuler schemebackward stochastic differential equations (BSDEs)

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99)

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