An efficient third-order scheme for BSDEs based on nonequidistant difference scheme

DOI10.1007/S11075-019-00822-7MaRDI QIDQ2200790zbMATH OpenOpenAlexFDO

Authors Chol-Kyu Pak, M. C. Kim, Chang-Ho Rim

Publication date 22 September 2020

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.01564

zbMATH Keywords

backward stochastic differential equationsGauss-Hermite quadraturethird-order scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper we propose an efficient third-order numerical scheme for backward stochastic differential equations(BSDEs). We use 3-point Gauss-Hermite quadrature rule for approximation of the conditional expectation and avoid spatial interpolation by setting up a fully nested spatial grid and using the approximation of derivatives based on non-equidistant sample points. As a result, the overall computational complexity is reduced significantly. Several examples show that the proposed scheme is of third-order and very efficient.

Recommendations

• A forward scheme for backward SDEs
• Sinc-\(\theta\) schemes for backward stochastic differential equations
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
• One-step multi-derivative methods for backward stochastic differential equations
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

Cites work

• A Fourier cosine method for an efficient computation of solutions to BSDEs
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• A sparse-grid method for multi-dimensional backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Deferred Correction Methods for Forward Backward Stochastic Differential Equations
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Error expansion for the discretization of backward stochastic differential equations
• Explicit deferred correction methods for second-order forward backward stochastic differential equations
• High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• Numerical method for backward stochastic differential equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme

Cited in

(2)

• Numerical methods for backward stochastic differential equations: a survey
• High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

This page was built for publication: An efficient third-order scheme for BSDEs based on nonequidistant difference scheme

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2200790)