Lp-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations

Yang Li and Weidong Zhao

Statistics & Probability Letters, 2010, vol. 80, issue 21-22, 1612-1617

Abstract: In this paper, we study Lp-error estimates for a scheme proposed by Zhao et al. (2006) for solving the backward stochastic differential equations . We prove that this scheme is of second-order convergence for solving for yt and of first-order convergence for solving for zt in Lp norm. And we also prove that the Crank-Nicolson scheme proposed by Wang et al. (2009) is second-order convergent for solving for both yt and zt in Lp norm.

Keywords: Backward; stochastic; differential; equations; Numerical; scheme; Lp-error; estimate (search for similar items in EconPapers)
Date: 2010
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