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
Source Publication	ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
ISSN	0764-583X
Volume	45 Issue:2 Pages:335-360
Abstract	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.
Keyword	Backward stochastic differential equations reflected stochastic differential equations with one barrier numerical algorithm numerical simulation
DOI	10.1051/m2an/2010059
Language	英语
Funding Project	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 Research Area	Mathematics
WOS Subject	Mathematics, Applied
WOS ID	WOS:000289621800007
Publisher	CAMBRIDGE UNIV PRESS
Citation statistics
Document Type	期刊论文
Identifier	http://ir.amss.ac.cn/handle/2S8OKBNM/12931
Collection	应用数学研究所
Corresponding Author	Peng, Shige
Affiliation	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
Recommended Citation 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.

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