Adapted time steps explicit scheme for monotone BSDEs

Abstract

We study the numerical strong stability of explicit schemes for the numerical approximation of the solution to a BSDE where the driver has polynomial growth in the primary variable and satisfies a monotone decreasing condition, and we introduce an explicit scheme with adapted time-steps that guarantee numerical strong stability. We then prove the convergence of this scheme and illustrate it with numerical simulations.

31 pages

References in corpus (3)

• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
• Contracting theory with competitive interacting agents

Cited by in corpus (2)

• Strong and weak divergence of exponential and linear-implicit Euler approximations for stochastic partial differential equations with superlinearly growing nonlinearities
• Full-Projection explicit FBSDE scheme for parabolic PDEs with superlinear nonlinearities