\(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
type: Item
instance of: scholarly article
title: \(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
zbMATH Open document ID: 1208.60068
author: Yang Li
author: Weidong Zhao
published in: Statistics \& Probability Letters
publication date: 2010-09-24T00:00:00Z
review text: \(L^p\) convergence is proved and \(L^p\) error estimates are derived for Crank-Nicolson schemes of Zhao et al. and of Wang et al. for solving the backward stochastic differential eqation \[ y_t= \varphi(W_T)+ \int^T_t f(s, y_s)\,ds- \int^T_t z_s dW_s, \] where \(W_t\) is a standard Brownian motion in \(\mathbb{R}^d\).
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 5791191
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: numerical scheme
zbMATH Keywords: \(L^p\)-error estimate
reviewed by: Melvin D. Lax
MaRDI profile type: Publication
full work available at URL: j.spl.2010.06.015
OpenAlex ID: W2012567903
cites work: Q5562267
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cites work: Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
cites work: A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
DOI: 10.1016/J.SPL.2010.06.015
description: scientific article; zbMATH DE number 5791191