Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
Efficient numerical algorithms for a class of forward–backward stochastic differential equations (FBSDEs) and related quasi-linear parabolic partial differential equations are proposed. The quasi-linear parabolic equation is solved by new layer methods which are constructed by means of a probabilist...
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Veröffentlicht in: | IMA journal of numerical analysis 2007-01, Vol.27 (1), p.24-44 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | Efficient numerical algorithms for a class of forward–backward stochastic differential equations (FBSDEs) and related quasi-linear parabolic partial differential equations are proposed. The quasi-linear parabolic equation is solved by new layer methods which are constructed by means of a probabilistic approach. The proposed algorithms for solving FBSDEs are based on the four-step scheme of Ma, Protter and Yong. Convergence theorems are proved. Results of some numerical experiments are presented. |
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ISSN: | 0272-4979 1464-3642 |
DOI: | 10.1093/imanum/drl019 |