\(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations

DOI10.1016/j.spl.2010.06.015zbMath1208.60068OpenAlexW2012567903MaRDI QIDQ1957154

Weidong Zhao, Yang Li

Publication date: 24 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.06.015

zbMATH Keywords

backward stochastic differential equationsnumerical scheme\(L^p\)-error estimate

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Second-order schemes for solving decoupled forward backward stochastic differential equations ⋮ A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• A General Stochastic Maximum Principle for Optimal Control Problems
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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