Year: 2025
Author: Luying Zheng, Weidong Zhao
International Journal of Numerical Analysis and Modeling, Vol. 22 (2025), Iss. 4 : pp. 585–602
Abstract
This paper concerns splitting methods for solving backward stochastic differential equations (BSDEs). By splitting the original $d$-dimensional BSDE into $d$ BSDEs and approximating these split BSDEs, we propose splitting schemes for the BSDE. The splitting schemes are rigorously analyzed and first-order error estimates are theoretically obtained. Numerical tests are given to verify the theoretical results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/ijnam2025-1025
International Journal of Numerical Analysis and Modeling, Vol. 22 (2025), Iss. 4 : pp. 585–602
Published online: 2025-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: Backward stochastic differential equations splitting method splitting scheme error estimate.