A generalized θ-scheme for solving backward stochastic differential equations

Weidong Zhao; Guannan Zhang; Yang Li

doi:10.3934/dcdsb.2012.17.1585

A generalized θ-scheme for solving backward stochastic differential equations

Weidong Zhao, Guannan Zhang, Yang Li

Research output: Contribution to journal › Article › peer-review

47 Scopus citations

Abstract

In this paper we propose a new type of θ-scheme with four pa- rameters (fig4 i=1) for solving the backward stochastic differential equation ztdyt = f(t; yt; zt)dt - ztdWt. We rigorously prove some error estimates for the proposed scheme, and in particular, we show that accuracy of the scheme can be high by choosing proper parameters. Various numerical examples are also presented to verify the theoretical results.

Original language	English
Pages (from-to)	1585-1603
Number of pages	19
Journal	Discrete and Continuous Dynamical Systems - Series B
Volume	17
Issue number	5
DOIs	https://doi.org/10.3934/dcdsb.2012.17.1585
State	Published - Jul 2012
Externally published	Yes

Keywords

Backward stochastic differential equations
Error estimate
Numerical tests
Second order
θ-scheme

Access to Document

10.3934/dcdsb.2012.17.1585

Cite this

@article{8c5d238143434fc29d10686a38ac32c6,

title = "A generalized θ-scheme for solving backward stochastic differential equations",

abstract = "In this paper we propose a new type of θ-scheme with four pa- rameters (fig4 i=1) for solving the backward stochastic differential equation ztdyt = f(t; yt; zt)dt - ztdWt. We rigorously prove some error estimates for the proposed scheme, and in particular, we show that accuracy of the scheme can be high by choosing proper parameters. Various numerical examples are also presented to verify the theoretical results.",

keywords = "Backward stochastic differential equations, Error estimate, Numerical tests, Second order, θ-scheme",

author = "Weidong Zhao and Guannan Zhang and Yang Li",

year = "2012",

month = jul,

doi = "10.3934/dcdsb.2012.17.1585",

language = "English",

volume = "17",

pages = "1585--1603",

journal = "Discrete and Continuous Dynamical Systems - Series B",

issn = "1531-3492",

publisher = "American Institute of Mathematical Sciences (AIMS)",

number = "5",

}

TY - JOUR

T1 - A generalized θ-scheme for solving backward stochastic differential equations

AU - Zhao, Weidong

AU - Zhang, Guannan

AU - Li, Yang

PY - 2012/7

Y1 - 2012/7

N2 - In this paper we propose a new type of θ-scheme with four pa- rameters (fig4 i=1) for solving the backward stochastic differential equation ztdyt = f(t; yt; zt)dt - ztdWt. We rigorously prove some error estimates for the proposed scheme, and in particular, we show that accuracy of the scheme can be high by choosing proper parameters. Various numerical examples are also presented to verify the theoretical results.

AB - In this paper we propose a new type of θ-scheme with four pa- rameters (fig4 i=1) for solving the backward stochastic differential equation ztdyt = f(t; yt; zt)dt - ztdWt. We rigorously prove some error estimates for the proposed scheme, and in particular, we show that accuracy of the scheme can be high by choosing proper parameters. Various numerical examples are also presented to verify the theoretical results.

KW - Backward stochastic differential equations

KW - Error estimate

KW - Numerical tests

KW - Second order

KW - θ-scheme

UR - http://www.scopus.com/inward/record.url?scp=84865191463&partnerID=8YFLogxK

U2 - 10.3934/dcdsb.2012.17.1585

DO - 10.3934/dcdsb.2012.17.1585

M3 - Article

AN - SCOPUS:84865191463

SN - 1531-3492

VL - 17

SP - 1585

EP - 1603

JO - Discrete and Continuous Dynamical Systems - Series B

JF - Discrete and Continuous Dynamical Systems - Series B

IS - 5

ER -

A generalized θ-scheme for solving backward stochastic differential equations

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this