Runge-Kutta schemes for backward stochastic differential equations

DOI10.1214/13-AAP933zbMATH Open1303.60045arXiv1403.5394OpenAlexW3106010402MaRDI QIDQ2448693FDOQ2448693

Authors: Jean-Francois Chassagneux, Dan Crisan 

Publication date: 5 May 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We study the convergence of a class of Runge-Kutta type schemes for backward stochastic differential equations (BSDEs) in a Markovian framework. The schemes belonging to the class under consideration benefit from a certain stability property. As a consequence, the overall rate of the convergence of these schemes is controlled by their local truncation error. The schemes are categorized by the number of intermediate stages implemented between consecutive partition time instances. We show that the order of the schemes matches the number $p$ of intermediate stages for $ple3$. Moreover, we show that the so-called order barrier occurs at $p=3$, that is, that it is not possible to construct schemes of order $p$ with $p$ stages, when $p>3$. The analysis is done under sufficient regularity on the final condition and on the coefficients of the BSDE.

Full work available at URL: https://arxiv.org/abs/1403.5394

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zbMATH Keywords

backward stochastic differential equationsRunge-Kutta methodshigh-order discretization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

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