A GENERALIZED θ-SCHEME FOR SOLVING BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

被引：44
|
作者：
Zhao, Weidong [1 ]
Li, Yang [1 ]
Zhang, Guannan [2 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
[2] Florida State Univ, Dept Comp Sci, Tallahassee, FL 32306 USA
来源：
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2012年 / 17卷 / 05期
基金：
中国国家自然科学基金;
关键词：
Backward stochastic differential equations; theta-scheme; error estimate; second order; numerical tests; DISCRETE-TIME APPROXIMATION; DISCRETIZATION; SDES;
D O I：
10.3934/dcdsb.2012.17.1585
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we propose a new type of theta-scheme with four parameters ({0(i)}(i)(4)=1) for solving the backward stochastic differential equation-dy(t) = f (t, yt, zt)dt - z(t)dW(t). We rigorously prove some error estimates for the proposed scheme, and in particular, we show that accuracy of the scheme can be high by choosing proper parameters. Various numerical examples are also presented to verify the theoretical results.
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页码：1585 / 1603
页数：19
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