Numerical stability analysis of the Euler scheme for BSDEs - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue SIAM Journal on Numerical Analysis Année : 2015

Numerical stability analysis of the Euler scheme for BSDEs

Résumé

In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient conditions in the one-dimensional and multidimensional case to guarantee the numerical stability. We then perform a classical Von Neumann stability analysis in the case of a linear driver $f$ and exhibit necessary conditions to get stability in this case. Finally, we illustrate our results with numerical applications.
Fichier principal
Vignette du fichier
CR-14.pdf (420.55 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01017969 , version 1 (03-07-2014)

Identifiants

Citer

Jean-François Chassagneux, Adrien Richou. Numerical stability analysis of the Euler scheme for BSDEs. SIAM Journal on Numerical Analysis, 2015, 53 (2), pp.1172--1193. ⟨10.1137/140977047⟩. ⟨hal-01017969⟩

Collections

CNRS IMB
96 Consultations
928 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More