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NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS

文献类型：期刊论文

作者Peng, Shige1,2; Xu, Mingyu2,3
刊名ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
出版日期2011-03-01
卷号45期号:2页码:335-360
ISSN号0764-583X
关键词Backward stochastic differential equations reflected stochastic differential equations with one barrier numerical algorithm numerical simulation
DOI10.1051/m2an/2010059
英文摘要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.
资助项目National Basic Research Program of China (973 Program)[2007CB814902] ; National Basic Research Program of China (973 Program)[2007CB814906] ; National Science Foundation[10901154/A0110] ; AMSS, CAS
WOS研究方向Mathematics
语种英语
出版者CAMBRIDGE UNIV PRESS
WOS记录号WOS:000289621800007
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/12930]  
专题应用数学研究所
通讯作者Peng, Shige
作者单位1.Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Peoples R China
2.CAS, Acad Math & Syst Sci, Key Lab Random Complex Struct & Data Sci, Beijing, Peoples R China
3.Fudan Univ, Sch Math Sci, Dept Financial Math & Control Sci, Shanghai 200433, Peoples R China
推荐引用方式
GB/T 7714		 Peng, Shige,Xu, Mingyu. NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS[J]. ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE,2011,45(2):335-360.
APA Peng, Shige,&Xu, Mingyu.(2011).NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS.ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE,45(2),335-360.
MLA Peng, Shige,et al."NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS".ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE 45.2(2011):335-360.

入库方式： OAI收割

来源：数学与系统科学研究院

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