Numerical stability analysis of the Euler scheme for BSDEs
hal.structure.identifier | Department of Mathematics [Imperial College London] | |
dc.contributor.author | CHASSAGNEUX, Jean-François | |
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
dc.contributor.author | RICHOU, Adrien | |
dc.date.accessioned | 2024-04-04T03:22:05Z | |
dc.date.available | 2024-04-04T03:22:05Z | |
dc.date.issued | 2015-05-01 | |
dc.identifier.issn | 0036-1429 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194720 | |
dc.description.abstractEn | 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. | |
dc.language.iso | en | |
dc.publisher | Society for Industrial and Applied Mathematics | |
dc.title.en | Numerical stability analysis of the Euler scheme for BSDEs | |
dc.type | Article de revue | |
dc.identifier.doi | 10.1137/140977047 | |
dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
bordeaux.journal | SIAM Journal on Numerical Analysis | |
bordeaux.page | 1172--1193 | |
bordeaux.volume | 53 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.issue | 2 | |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
bordeaux.peerReviewed | oui | |
hal.identifier | hal-01017969 | |
hal.version | 1 | |
hal.popular | non | |
hal.audience | Internationale | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-01017969v1 | |
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