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

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

2006-11-28

arxiv.org/abs/math/0611864v5

Mathematics

Probability

29 pages, 8 figures

Scientific paper

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.

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