Variable Step Size Adams Methods for BSDEs

被引:4
|
作者
Han, Qiang [1 ]
机构
[1] Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China
关键词
STOCHASTIC DIFFERENTIAL-EQUATIONS; APPROXIMATION; SCHEMES;
D O I
10.1155/2021/9799627
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
For backward stochastic differential equations (BSDEs), we construct variable step size Adams methods by means of Ito-Taylor expansion, and these schemes are nonlinear multistep schemes. It is deduced that the conditions of local truncation errors with respect to Y and Z reach high order. The coefficients in the numerical methods are inferred and bounded under appropriate conditions. A necessary and sufficient condition is given to judge the stability of our numerical schemes. Moreover, the high-order convergence of the schemes is rigorously proved. The numerical illustrations are provided.
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页数:13
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