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hal.structure.identifierDepartment of Mathematics [Imperial College London]
dc.contributor.authorCHASSAGNEUX, Jean-François
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorRICHOU, Adrien
dc.date.accessioned2024-04-04T03:22:05Z
dc.date.available2024-04-04T03:22:05Z
dc.date.issued2015-05-01
dc.identifier.issn0036-1429
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/194720
dc.description.abstractEnIn 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.isoen
dc.publisherSociety for Industrial and Applied Mathematics
dc.title.enNumerical stability analysis of the Euler scheme for BSDEs
dc.typeArticle de revue
dc.identifier.doi10.1137/140977047
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalSIAM Journal on Numerical Analysis
bordeaux.page1172--1193
bordeaux.volume53
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue2
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-01017969
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01017969v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=SIAM%20Journal%20on%20Numerical%20Analysis&rft.date=2015-05-01&rft.volume=53&rft.issue=2&rft.spage=1172--1193&rft.epage=1172--1193&rft.eissn=0036-1429&rft.issn=0036-1429&rft.au=CHASSAGNEUX,%20Jean-Fran%C3%A7ois&RICHOU,%20Adrien&rft.genre=article


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