A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS

doi:10.1137/19M1260177

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	A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS
	Yang, Jie 1; Zhao, Weidong 2,3; Zhou, Tao 4,5
	2020
发表期刊	SIAM JOURNAL ON NUMERICAL ANALYSIS
ISSN	0036-1429
卷号	58 期号:4 页码:2351-2375
摘要	In this work, we propose a general discretization framework for numerical solution of forward backward stochastic differential equations (FBSDEs). The framework covers several existing temporal discretization probabilistic schemes in the literature. The consistency, stability, and convergence analysis for the proposed scheme are presented. In particular, we prove a stochastic mean square version of Lax equivalence theorem-showing that a consistent discretization scheme for FBSDEs is convergent if and only if it is stable. Applications of the analysis results to existing numerical schemes are also discussed.
关键词	forward backward stochastic differential equations numerical schemes stability consistency convergence analysis
DOI	10.1137/19M1260177
收录类别	SCI
语种	英语
资助项目	National Key Basic Research Program[2018YFB0704304] ; National Key Basic Research Program[2018YFA0703903] ; National Natural Science Foundation of China[11822111] ; National Natural Science Foundation of China[11688101] ; National Natural Science Foundation of China[11731006] ; National Natural Science Foundation of China[11571206] ; National Natural Science Foundation of China[11831010] ; National Natural Science Foundation of China[11801320] ; Youth Innovation Promotion Association of CAS ; National Natural Science Foundation of Shandong Province[ZR2018BA005] ; Science Challenge Project[TZ2018001]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000568220000015
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52149
专题	中国科学院数学与系统科学研究院
通讯作者	Yang, Jie
作者单位	1.Shandong Univ, Sch Math & Stat, Weihai 264209, Shandong, Peoples R China 2.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China 3.Shandong Univ, Inst Finance, Jinan 250100, Shandong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, Beijing 100190, Peoples R China 5.Chinese Acad Sci, Acad Math & Syst Sci, NCMIS, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yang, Jie,Zhao, Weidong,Zhou, Tao. A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2020,58(4):2351-2375.
APA	Yang, Jie,Zhao, Weidong,&Zhou, Tao.(2020).A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS.SIAM JOURNAL ON NUMERICAL ANALYSIS,58(4),2351-2375.
MLA	Yang, Jie,et al."A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS".SIAM JOURNAL ON NUMERICAL ANALYSIS 58.4(2020):2351-2375.