科研之友
微信
新浪微博
Facebook
分享链接
摘要
In this paper, we study error estimates of a special theta-scheme - the Crank-Nicolson scheme proposed in [25] for solving the backward stochastic differential equation with a general generator, -dyt = f (t, yt, z(t))dt - z(t)dW(t). We rigorously prove that under some reasonable regularity conditions on phi and f, this scheme is second-order accurate for solving both y(t) and z(t) when the errors are measured in the L-p (p %26gt;= 1) norm.
- 出版日期2013
- 单位山东大学
