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摘要
In this paper we propose a new type of theta-scheme with four parameters ({0(i)}(i)(4)=1) for solving the backward stochastic differential equation-dy(t) = f (t, yt, zt)dt - z(t)dW(t). We rigorously prove some error estimates for the proposed scheme, and in particular, we show that accuracy of the scheme can be high by choosing proper parameters. Various numerical examples are also presented to verify the theoretical results.
- 出版日期2012-7
- 单位山东大学
