Mathematics > Numerical Analysis
[Submitted on 5 Aug 2018]
Title:An efficient third-order scheme for BSDEs based on nonequidistant difference scheme
View PDFAbstract:In this paper we propose an efficient third-order numerical scheme for backward stochastic differential equations(BSDEs). We use 3-point Gauss-Hermite quadrature rule for approximation of the conditional expectation and avoid spatial interpolation by setting up a fully nested spatial grid and using the approximation of derivatives based on non-equidistant sample points. As a result, the overall computational complexity is reduced significantly. Several examples show that the proposed scheme is of third-order and very efficient.
Current browse context:
math.NA
References & Citations
Bookmark
Bibliographic and Citation Tools
Bibliographic Explorer (What is the Explorer?)
Connected Papers (What is Connected Papers?)
Litmaps (What is Litmaps?)
scite Smart Citations (What are Smart Citations?)
Code, Data and Media Associated with this Article
alphaXiv (What is alphaXiv?)
CatalyzeX Code Finder for Papers (What is CatalyzeX?)
DagsHub (What is DagsHub?)
Gotit.pub (What is GotitPub?)
Hugging Face (What is Huggingface?)
Papers with Code (What is Papers with Code?)
ScienceCast (What is ScienceCast?)
Demos
Recommenders and Search Tools
Influence Flower (What are Influence Flowers?)
CORE Recommender (What is CORE?)
arXivLabs: experimental projects with community collaborators
arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website.
Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them.
Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.