SCHWARZ METHOD FOR FINANCIAL ENGINEERING

• 作者: Guangbao Guo Weidong Zhao
• 来源期刊: 计算数学（英文版）
• 年，卷（期）: 2021,（4）
• 页码范围: 538-555
• 页数: 18页
• 语种: 英文
• DOI: 10.4208/jcm.2003-m2018-0115

摘要

Schwarz method is put forward to solve second order backward stochastic differential equations(2BSDEs)in this work.We will analyze uniqueness,convergence,stability and optimality of the proposed method.Moreover,several simulation results are presented to demonstrate the effectiveness;several applications of the 2BSDEs are investigated.It is concluded from these results that the proposed the method is powerful to calculate the 2BSDEs listing from the financial engineering.