In this paper,a stochastic linear two-step scheme has been presented to approximate backward stochastic differential equations(BSDEs).A necessary and sufficient condition is given to judge the L 2-stability of our num...In this paper,a stochastic linear two-step scheme has been presented to approximate backward stochastic differential equations(BSDEs).A necessary and sufficient condition is given to judge the L 2-stability of our numerical schemes.This stochastic linear two-step method possesses a family of 3-order convergence schemes in the sense of strong stability.The coefficients in the numerical methods are inferred based on the constraints of strong stability and n-order accuracy(n∈N^(+)).Numerical experiments illustrate that the scheme is an efficient probabilistic numerical method.展开更多
基金supported by the National Natural Science of China No.11971263,11871458Shandong Provincial Natural Science Foundation No.ZR2019ZD41National Key R&D Program of China No.2018YFA0703900。
文摘In this paper,a stochastic linear two-step scheme has been presented to approximate backward stochastic differential equations(BSDEs).A necessary and sufficient condition is given to judge the L 2-stability of our numerical schemes.This stochastic linear two-step method possesses a family of 3-order convergence schemes in the sense of strong stability.The coefficients in the numerical methods are inferred based on the constraints of strong stability and n-order accuracy(n∈N^(+)).Numerical experiments illustrate that the scheme is an efficient probabilistic numerical method.
