Year: 2015
East Asian Journal on Applied Mathematics, Vol. 5 (2015), Iss. 4 : pp. 387–404
Abstract
Convergence analysis is presented for recently proposed multistep schemes, when applied to a special type of forward-backward stochastic differential equations (FBSDEs) that arises in finance and stochastic control. The corresponding $k$-step scheme admits a $k$-order convergence rate in time, when the exact solution of the forward stochastic differential equation (SDE) is given. Our analysis assumes that the terminal conditions and the FBSDE coefficients are sufficiently regular.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.280515.211015a
East Asian Journal on Applied Mathematics, Vol. 5 (2015), Iss. 4 : pp. 387–404
Published online: 2015-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: Convergence analysis multistep schemes forward-backward stochastic differential equations.
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