作者：Chassagneux, Jean-Francois; Crisan, Dan
作者单位：Imperial College London
摘要：We study the convergence of a class of Runge-Kutta type schemes for backward stochastic differential equations (BSDEs) in a Markovian framework. The schemes belonging to the class under consideration benefit from a certain stability property. As a consequence, the overall rate of the convergence of these schemes is controlled by their local truncation error. The schemes are categorized by the number of intermediate stages implemented between consecutive partition time instances. We show that t...
作者：Crisan, Dan; Manolarakis, Konstantinos
作者单位：Imperial College London
摘要：We propose a second order discretization for backward stochastic differential equations (BSDEs) with possibly nonsmooth boundary data. When implemented, the discretization method requires essentially the same computational effort with the Euler scheme for BSDEs of Bouchard and Touzi [Stochastic Process. Appl. 111 (2004) 175-206] and Zhang [Ann. AppL Probab. 14 (2004) 459-488]. However, it enjoys a second order asymptotic rate of convergence, provided that the coefficients of the equation are s...
