Numerical Stability Analysis of the Euler Scheme for BSDEs
نویسندگان
چکیده
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.
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ورودعنوان ژورنال:
- SIAM J. Numerical Analysis
دوره 53 شماره
صفحات -
تاریخ انتشار 2015