Numerical Stability Analysis of the Euler Scheme for BSDEs.
Authors
Publication date
2015
Publication type
Journal Article
Summary
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.
Publisher
Society for Industrial & Applied Mathematics (SIAM)
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