Year: 2021
Author: Guangbao Guo, Weidong Zhao
Journal of Computational Mathematics, Vol. 39 (2021), Iss. 4 : pp. 538–555
Abstract
Schwarz method is put forward to solve second order backward stochastic differential equations (2BSDEs) in this work. We will analyze uniqueness, convergence, stability and optimality of the proposed method. Moreover, several simulation results are presented to demonstrate the effectiveness; several applications of the 2BSDEs are investigated. It is concluded from these results that the proposed the method is powerful to calculate the 2BSDEs listing from the financial engineering.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.2003-m2018-0115
Journal of Computational Mathematics, Vol. 39 (2021), Iss. 4 : pp. 538–555
Published online: 2021-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: 2BSDE Schwarz method Domain decomposition Viscosity solution Stochastic volatility models.