Lp-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations

In this paper, we study Lp-error estimates for a scheme proposed by Zhao et al. (2006) for solving the backward stochastic differential equations . We prove that this scheme is of second-order convergence for solving for yt and of first-order convergence for solving for zt in Lp norm. And we also prove that the Crank-Nicolson scheme proposed by Wang et al. (2009) is second-order convergent for solving for both yt and zt in Lp norm.

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Year of publication:	2010
Authors:	Li, Yang ; Zhao, Weidong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 21-22, p. 1612-1617
Publisher:	Elsevier
Keywords:	Backward stochastic differential equations Numerical scheme Lp-error estimate

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008868917