Schwarz method is put forward to solve second order backward stochastic di erential equations(2BSDEs)in this work.We will analyze uniqueness,convergence,stability and optimality of the proposed method.Moreover,several...Schwarz method is put forward to solve second order backward stochastic di erential equations(2BSDEs)in this work.We will analyze uniqueness,convergence,stability and optimality of the proposed method.Moreover,several simulation results are presented to demonstrate the e ectiveness;several applications of the 2BSDEs are investigated.It is concluded from these results that the proposed the method is powerful to calculate the 2BSDEs listing from the nancial engineering.展开更多
文摘Schwarz method is put forward to solve second order backward stochastic di erential equations(2BSDEs)in this work.We will analyze uniqueness,convergence,stability and optimality of the proposed method.Moreover,several simulation results are presented to demonstrate the e ectiveness;several applications of the 2BSDEs are investigated.It is concluded from these results that the proposed the method is powerful to calculate the 2BSDEs listing from the nancial engineering.
