Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations
ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Volume 45 (2011) no. 2, p. 335-360

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.

DOI : https://doi.org/10.1051/m2an/2010059
Classification:  60H10,  34K28
Keywords: backward stochastic differential equations, reflected stochastic differential equations with one barrier, numerical algorithm, numerical simulation
@article{M2AN_2011__45_2_335_0,
author = {Peng, Shige and Xu, Mingyu},
title = {Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations},
journal = {ESAIM: Mathematical Modelling and Numerical Analysis - Mod\'elisation Math\'ematique et Analyse Num\'erique},
publisher = {EDP-Sciences},
volume = {45},
number = {2},
year = {2011},
pages = {335-360},
doi = {10.1051/m2an/2010059},
zbl = {1269.65008},
mrnumber = {2804642},
language = {en},
url = {http://www.numdam.org/item/M2AN_2011__45_2_335_0}
}

Peng, Shige; Xu, Mingyu. Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations. ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Volume 45 (2011) no. 2, pp. 335-360. doi : 10.1051/m2an/2010059. http://www.numdam.org/item/M2AN_2011__45_2_335_0/

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