arXiv:math/0611864 Abstract

arXiv:math/0611864 [math.PR]Abstract References Reviews Resources

Numerical Algorithms for 1-d Backward Stochastic Differential Equations: Convergence and Simulations

Published 2006-11-28, updated 2009-09-23Version 5

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.

Comments: 29 pages, 8 figures

Categories: math.PR

Subjects: 60H10, 34K28

Keywords: backward stochastic differential equations, numerical algorithms, convergence, random walk framework, brownian motion

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