A high-order numerical method for BSPDEs with applications to mathematical finance

DOI10.1137/20M1383252zbMATH Open1484.65016OpenAlexW4213162232MaRDI QIDQ5065083FDOQ5065083

Authors:

Publication date: 18 March 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1383252

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• scientific article; zbMATH DE number 1069628

zbMATH Keywords

backward stochastic partial differential equationserror estimatesstability analysislocal discontinuous Galerkin methodhedging contingent claimsstochastic Black-Scholes formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cites Work

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Cited In (7)

• High order method for Black-Scholes PDE
• Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
• High order splitting schemes with complex timesteps and their application in mathematical finance
• A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
• A high-order numerical scheme for stochastic optimal control problem
• Numerical methods for backward stochastic differential equations: a survey
• A local discontinuous Galerkin method for nonlinear parabolic SPDEs

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