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A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS

文献类型：期刊论文

作者Yang, Jie2; Zhao, Weidong1,3; Zhou, Tao4,5
刊名SIAM JOURNAL ON NUMERICAL ANALYSIS
出版日期2020
卷号58期号:4页码:2351-2375
关键词forward backward stochastic differential equations numerical schemes stability consistency convergence analysis
ISSN号0036-1429
DOI10.1137/19M1260177
英文摘要In this work, we propose a general discretization framework for numerical solution of forward backward stochastic differential equations (FBSDEs). The framework covers several existing temporal discretization probabilistic schemes in the literature. The consistency, stability, and convergence analysis for the proposed scheme are presented. In particular, we prove a stochastic mean square version of Lax equivalence theorem-showing that a consistent discretization scheme for FBSDEs is convergent if and only if it is stable. Applications of the analysis results to existing numerical schemes are also discussed.
资助项目National Key Basic Research Program[2018YFB0704304] ; National Key Basic Research Program[2018YFA0703903] ; National Natural Science Foundation of China[11822111] ; National Natural Science Foundation of China[11688101] ; National Natural Science Foundation of China[11731006] ; National Natural Science Foundation of China[11571206] ; National Natural Science Foundation of China[11831010] ; National Natural Science Foundation of China[11801320] ; Youth Innovation Promotion Association of CAS ; National Natural Science Foundation of Shandong Province[ZR2018BA005] ; Science Challenge Project[TZ2018001]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000568220000015
出版者SIAM PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/52148]  
专题中国科学院数学与系统科学研究院
通讯作者Yang, Jie
作者单位1.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
2.Shandong Univ, Sch Math & Stat, Weihai 264209, Shandong, Peoples R China
3.Shandong Univ, Inst Finance, Jinan 250100, Shandong, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, Beijing 100190, Peoples R China
5.Chinese Acad Sci, Acad Math & Syst Sci, NCMIS, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Yang, Jie,Zhao, Weidong,Zhou, Tao. A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2020,58(4):2351-2375.
APA Yang, Jie,Zhao, Weidong,&Zhou, Tao.(2020).A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS.SIAM JOURNAL ON NUMERICAL ANALYSIS,58(4),2351-2375.
MLA Yang, Jie,et al."A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS".SIAM JOURNAL ON NUMERICAL ANALYSIS 58.4(2020):2351-2375.

入库方式： OAI收割

来源：数学与系统科学研究院

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