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SCHWARZ METHOD FOR FINANCIAL ENGINEERING

Guangbao Guo1, Weidong Zhao2   

  1. 1 Department of Statistics, Shandong University of Technology, Zibo 255000, China;
    School of Mathematics, Shandong University, Jinan 250000, China
  • Received:2018-06-07 Revised:2020-02-13 Published:2021-08-06
  • Contact: Guangbao Guo,Email:ggb11111111@163.com
  • Supported by:
    The authors would like to thank the editors and the reviewers for their careful work and thoughtful suggestions that have helped improve this paper substantially.

Guangbao Guo, Weidong Zhao. SCHWARZ METHOD FOR FINANCIAL ENGINEERING[J]. Journal of Computational Mathematics, 2021, 39(4): 538-555.

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.

CLC Number: 

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