NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS

作     者：Peng, Shige Xu, Mingyu 

作者机构：Shandong Univ Sch Math & Syst Sci Jinan 250100 Peoples R China Chinese Acad Sci Acad Math & Syst Sci Key Lab Random Complex Struct & Data Sci Beijing Peoples R China Fudan Univ Sch Math Sci Dept Financial Math & Control Sci Shanghai 200433 Peoples R China 

出 版 物：《ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE》 (欧洲应用数学与工业数学辑：数学模型与数值分析)

年 卷 期：2011年第45卷第2期

页      面：335-360页

核心收录：

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：National Basic Research Program of China (973 Program) [2007CB814902, 2007CB814906] National Science Foundation [10901154/A0110] AMSS, CAS 

主　　题：Backward stochastic differential equations reflected stochastic differential equations with one barrier numerical algorithm numerical simulation 

摘      要：In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are introduced. Then we prove the convergence of different algorithms and present simulation results for different types of BSDEs.