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Numerical Algorithms
Published in: Numerical Algorithms 2/2020

16-11-2019 | Original Paper

An efficient third-order scheme for BSDEs based on nonequidistant difference scheme

Authors: Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim

Published in: Numerical Algorithms | Issue 2/2020

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Abstract

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 nonequidistant 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.
previous article A note on hybridization process applied on transformed double step size model
next article Analysis and application of the interpolating element-free Galerkin method for extended Fisher–Kolmogorov equation which arises in brain tumor dynamics modeling

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Metadata
Title
An efficient third-order scheme for BSDEs based on nonequidistant difference scheme
Authors
Chol-Kyu Pak
Mun-Chol Kim
Chang-Ho Rim
Publication date
16-11-2019
Publisher
Springer US
Published in
Numerical Algorithms / Issue 2/2020
Print ISSN: 1017-1398
Electronic ISSN: 1572-9265
DOI
https://doi.org/10.1007/s11075-019-00822-7

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