A generalized \(\theta\)-scheme for solving backward stochastic differential equations (Q432591)
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scientific article; zbMATH DE number 6052998
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| English | A generalized \(\theta\)-scheme for solving backward stochastic differential equations |
scientific article; zbMATH DE number 6052998 |
Statements
A generalized \(\theta\)-scheme for solving backward stochastic differential equations (English)
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4 July 2012
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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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A new \(\theta\)-scheme is presented for solving the backward stochastic differential equation NEWLINE\[NEWLINEy_t= \xi+ \int^T_t f(s,y_s, z_s)\,ds- \int^T_t z_s dW_s,NEWLINE\]NEWLINE 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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