full
search.png

Search

close.png

Cancel

arrow
Volume 39, Issue 4
Schwarz Method for Financial Engineering

Guangbao Guo & Weidong Zhao

DOI: 10.4208/jcm.2003-m2018-0115

J. Comp. Math., 39 (2021), pp. 538-555.

Published online: 2021-05

Preview Purchase PDF 1191 26405

Cited by

google scholar semantic scholar
Export citation
  • Abstract

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.

  • Keywords

2BSDE, Schwarz method, Domain decomposition, Viscosity solution, Stochastic volatility models.

  • AMS Subject Headings

65C30, 65C05, 60H35, 60H07, 60J75

  • Copyright

COPYRIGHT: © Global Science Press

  • Email address

ggb11111111@163.com (Guangbao Guo)

wdzhao@sdu.edu.cn (Weidong Zhao)

  • BibTex
  • RIS
  • TXT
@Article{JCM-39-538, author = {Guo , Guangbao and Zhao , Weidong}, title = {Schwarz Method for Financial Engineering}, journal = {Journal of Computational Mathematics}, year = {2021}, volume = {39}, number = {4}, pages = {538--555}, abstract = {

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.

}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.2003-m2018-0115}, url = {http://global-sci.org/intro/article_detail/jcm/19147.html} }
TY - JOUR T1 - Schwarz Method for Financial Engineering AU - Guo , Guangbao AU - Zhao , Weidong JO - Journal of Computational Mathematics VL - 4 SP - 538 EP - 555 PY - 2021 DA - 2021/05 SN - 39 DO - http://doi.org/10.4208/jcm.2003-m2018-0115 UR - https://global-sci.org/intro/article_detail/jcm/19147.html KW - 2BSDE, Schwarz method, Domain decomposition, Viscosity solution, Stochastic volatility models. AB -

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.

Guangbao Guo & Weidong Zhao. (2021). Schwarz Method for Financial Engineering. Journal of Computational Mathematics. 39 (4). 538-555. doi:10.4208/jcm.2003-m2018-0115
Copy to clipboard
BibteX RIS TXT
The citation has been copied to your clipboard