Corpus ID: 119320909

Linear multi-step schemes for BSDEs

@inproceedings{Chassagneux2013LinearMS,
  title={Linear multi-step schemes for BSDEs},
  author={Jean-Franccois Chassagneux},
  year={2013}
}
  • Jean-Franccois Chassagneux
  • Published 2013
  • Mathematics
  • We study the convergence rate of a class of linear multi-step methods for BSDEs. We show that, under a sufficient condition on the coefficients, the schemes enjoy a fundamental stability property. Coupling this result to an analysis of the truncation error allows us to design approximation with arbitrary order of convergence. Contrary to the analysis performed in \cite{zhazha10}, we consider general diffusion model and BSDEs with driver depending on $z$. The class of methods we consider… CONTINUE READING

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