Title :
A sort of discrete backward stochastic differential equations and its convergence
Author :
Lin, Xiangyun ; Zhang, Rui ; Wang, Xiangrong
Author_Institution :
Coll. of Sci., Shandong Univ. of Sci. & Technol., Qingdao, China
Abstract :
By making discrete filtration, we study a sort of discrete backward stochastic differential equations (BSDEs) with Duffie & Epstein´s type. Based on the properties of those filtrations, we prove the existence and uniqueness of the solutions. Finally, we discuss the numerical stability and convergence of the discrete BSDEs.
Keywords :
differential equations; numerical stability; Duffie & Epstein type; convergence; discrete backward stochastic differential equations; discrete filtration; numerical stability; Convergence; Differential equations; Educational institutions; Extraterrestrial measurements; Filtration; Hydrogen; Nonlinear equations; Numerical stability; Space technology; Stochastic processes; Backward stochastic differential equations; convergenc; numerical solution; stability;
Conference_Titel :
Computing, Communication, Control, and Management, 2009. CCCM 2009. ISECS International Colloquium on
Conference_Location :
Sanya
Print_ISBN :
978-1-4244-4247-8
DOI :
10.1109/CCCM.2009.5267461
