# Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations***

ESAIM: Mathematical Modelling and Numerical Analysis (2011)

- Volume: 45, Issue: 2, page 335-360
- ISSN: 0764-583X

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topPeng, Shige, and Xu, Mingyu. "Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations***." ESAIM: Mathematical Modelling and Numerical Analysis 45.2 (2011): 335-360. <http://eudml.org/doc/276348>.

@article{Peng2011,

abstract = {
In this paper we study different algorithms for backward
stochastic differential equations (BSDE in short) basing on random
walk framework for 1-dimensional Brownian motion. Implicit and
explicit schemes for both BSDE and reflected BSDE are introduced.
Then we prove the convergence of different algorithms and present
simulation results for different types of BSDEs.
},

author = {Peng, Shige, Xu, Mingyu},

journal = {ESAIM: Mathematical Modelling and Numerical Analysis},

keywords = {Backward stochastic differential
equations; reflected stochastic differential equations with one barrier;
numerical algorithm; numerical simulation; backward stochastic differential equations; algorithm; numerical examples; Brownian motion; convergence},

language = {eng},

month = {1},

number = {2},

pages = {335-360},

publisher = {EDP Sciences},

title = {Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations***},

url = {http://eudml.org/doc/276348},

volume = {45},

year = {2011},

}

TY - JOUR

AU - Peng, Shige

AU - Xu, Mingyu

TI - Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations***

JO - ESAIM: Mathematical Modelling and Numerical Analysis

DA - 2011/1//

PB - EDP Sciences

VL - 45

IS - 2

SP - 335

EP - 360

AB -
In this paper we study different algorithms for backward
stochastic differential equations (BSDE in short) basing on random
walk framework for 1-dimensional Brownian motion. Implicit and
explicit schemes for both BSDE and reflected BSDE are introduced.
Then we prove the convergence of different algorithms and present
simulation results for different types of BSDEs.

LA - eng

KW - Backward stochastic differential
equations; reflected stochastic differential equations with one barrier;
numerical algorithm; numerical simulation; backward stochastic differential equations; algorithm; numerical examples; Brownian motion; convergence

UR - http://eudml.org/doc/276348

ER -

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