A generalized scheme for BSDEs based on derivative approximation and its error estimates

Chol-Kyu Pak, Mun-Chol Kim and O Hun

Papers from arXiv.org

Abstract: In this paper we propose a generalized numerical scheme for backward stochastic differential equations(BSDEs). The scheme is based on approximation of derivatives via Lagrange interpolation. By changing the distribution of sample points used for interpolation, one can get various numerical schemes with different stability and convergence order. We present a condition for the distribution of sample points to guarantee the convergence of the scheme.

Date: 2018-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1808.02478

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