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arXiv · 1808.01564

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

Chol-Kyu Pak·Mun-Chol Kim·Chang-Ho Rim
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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 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.

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Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim. 2018-08-05. An efficient third-order scheme for BSDEs based on nonequidistant difference scheme. https://doi.org/10.1007/s11075-019-00822-7

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