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

doi:10.1051/m2an/2010059

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	NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS
	Peng, Shige 1,2; Xu, Mingyu2,3
	2011-03-01
发表期刊	ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
ISSN	0764-583X
卷号	45 期号:2 页码:335-360
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.
关键词	Backward stochastic differential equations reflected stochastic differential equations with one barrier numerical algorithm numerical simulation
DOI	10.1051/m2an/2010059
语种	英语
资助项目	National Basic Research Program of China (973 Program)[2007CB814902] ; National Basic Research Program of China (973 Program)[2007CB814906] ; National Science Foundation[10901154/A0110] ; AMSS, CAS
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000289621800007
出版者	CAMBRIDGE UNIV PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12931
专题	应用数学研究所
通讯作者	Peng, Shige
作者单位	1.Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Peoples R China 2.CAS, Acad Math & Syst Sci, Key Lab Random Complex Struct & Data Sci, Beijing, Peoples R China 3.Fudan Univ, Sch Math Sci, Dept Financial Math & Control Sci, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Peng, Shige,Xu, Mingyu. NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS[J]. ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE,2011,45(2):335-360.
APA	Peng, Shige,&Xu, Mingyu.(2011).NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS.ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE,45(2),335-360.
MLA	Peng, Shige,et al."NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS".ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE 45.2(2011):335-360.