Work

Numerical stability analysis of the Euler scheme for BSDEs

Year: 2014

Type: preprint

Abstract: 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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1407.0887

Authors: Chassagneux, Jean-François, Richou, Adrien

Institutions: Université de Bordeaux, Institut de Mathématiques de Bordeaux

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Agence Nationale de la Recherche, Engineering and Physical Sciences Research Council

Awards: Liquidity effects, risk control and BSDEs, Imperial College London Mathematics Platform Grant

OpenAlex ID: W2952446579

Cites: 6

Cited by:

Related to: 20