A generalized scheme for BSDEs based on derivative approximation and its error estimates

Autor:	Pak, Chol-Kyu, Kim, Mun-Chol, Hun, O
Rok vydání:	2018
Předmět:	Mathematics - Numerical Analysis Mathematics - Probability Quantitative Finance - Mathematical Finance 60H35 65C20 60H10
Druh dokumentu:	Working Paper
Popis:	In this paper we propose a generalized numerical scheme for backward stochastic differential equations(BSDEs). The scheme is based on approximation of derivatives via Lagrange interpolation. By changing the distribution of sample points used for interpolation, one can get various numerical schemes with different stability and convergence order. We present a condition for the distribution of sample points to guarantee the convergence of the scheme. Comment: 11 pages, 1 table. arXiv admin note: text overlap with arXiv:1808.01564
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1808.02478 Zobrazit plný text záznamu View this record from Arxiv