Numerical stability analysis of the Euler scheme for BSDEs
Langue
en
Article de revue
Ce document a été publié dans
SIAM Journal on Numerical Analysis. 2015-05-01, vol. 53, n° 2, p. 1172--1193
Society for Industrial and Applied Mathematics
Résumé en anglais
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient ...Lire la suite >
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient conditions in the one-dimensional and multidimensional case to guarantee the numerical stability. We then perform a classical Von Neumann stability analysis in the case of a linear driver $f$ and exhibit necessary conditions to get stability in this case. Finally, we illustrate our results with numerical applications.< Réduire
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