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Lp-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations

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  • Li, Yang
  • Zhao, Weidong

Abstract

In this paper, we study Lp-error estimates for a scheme proposed by Zhao et al. (2006) for solving the backward stochastic differential equations . We prove that this scheme is of second-order convergence for solving for yt and of first-order convergence for solving for zt in Lp norm. And we also prove that the Crank-Nicolson scheme proposed by Wang et al. (2009) is second-order convergent for solving for both yt and zt in Lp norm.

Suggested Citation

  • Li, Yang & Zhao, Weidong, 2010. "Lp-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1612-1617, November.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:21-22:p:1612-1617
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