A generalized scheme for BSDEs based on derivative approximation and its\n error estimates

2018/08/06 by Chol-Kyu Pak, Pak, Chol-Kyu, Mun-Chol Kim +3
Economics, Econometrics and Finance · Social Sciences · #60H10 #60H35 #65C20 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF) #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1808.02478

openalex publication_date 2018/08/06 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28

Abstract

In this paper we propose a generalized numerical scheme for backward\nstochastic differential equations(BSDEs). The scheme is based on approximation\nof derivatives via Lagrange interpolation. By changing the distribution of\nsample points used for interpolation, one can get various numerical schemes\nwith different stability and convergence order. We present a condition for the\ndistribution of sample points to guarantee the convergence of the scheme.\n

Citations

• Conjugate convex functions in optimal stochastic control

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