TIME DISCRETIZATION OF FBSDE WITH POLYNOMIAL GROWTH DRIVERS AND REACTION–DIFFUSION PDES
TIME DISCRETIZATION OF FBSDE WITH POLYNOMIAL GROWTH DRIVERS AND REACTION–DIFFUSION PDES
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Hayward: Institute of Mathematical Statistics
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English
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Hayward: Institute of Mathematical Statistics
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In this paper, we undertake the error analysis of the time discretization of systems of Forward–Backward Stochastic Differential Equations (FBSDEs) with drivers having polynomial growth and that are also monotone in the state variable. We show with a counter-example that the natural explicit Euler scheme may diverge, unlike in the canonical Lipschi...
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TIME DISCRETIZATION OF FBSDE WITH POLYNOMIAL GROWTH DRIVERS AND REACTION–DIFFUSION PDES
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TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aoap_1438261049
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aoap_1438261049
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ISSN
1050-5164
E-ISSN
2168-8737
DOI
10.1214/14-AAP1056
