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arXiv:1808.02173 [math.NA]AbstractReferencesReviewsResources

Adapted $θ$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations

Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim

Published 2018-08-07Version 1

In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional $\theta$-scheme, we reduce truncation errors by taking $\theta$ carefully for every subinterval according to the characteristics of integrands. We give error estimates of this nonlinear scheme and verify the order of scheme through a typical numerical experiment.

Comments: 18 pages, 3 tables, 1 figure
Categories: math.NA, math.PR, q-fin.MF
Subjects: 60H35, 65C20, 60H10
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