Advanced Search
Article Contents
Article Contents

Error estimates of the $\theta$-scheme for backward stochastic differential equations

Abstract Related Papers Cited by
  • In this paper, we study the error estimate of the $\theta$-scheme for the backward stochastic differential equation $y_t=\varphi(W_T)+\int_t^Tf(s,y_s)ds-\int_t^Tz_sdW_s$. We show that this scheme is of first-order convergence in $y$ for general $\theta$. In particular, for the case of $\theta=\frac{1}{2}$ (i.e., the Crank-Nicolson scheme), we prove that this scheme is of second-order convergence in $y$ and first-order in $z$. Some numerical examples are also given to validate our theoretical results.
    Mathematics Subject Classification: Primary: 60H35, 65C20; Secondary: 65C30.


    \begin{equation} \\ \end{equation}
  • 加载中

Article Metrics

HTML views() PDF downloads(323) Cited by(0)

Access History

Other Articles By Authors



    DownLoad:  Full-Size Img  PowerPoint