High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (Q2090362)

scientific article; zbMATH DE number 7606644

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English	High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion	scientific article; zbMATH DE number 7606644

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instance of

scholarly article

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title

High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (English)

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Discrete and Continuous Dynamical Systems. Series B

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publication date

25 October 2022

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zbMATH Keywords

backward stochastic differential equations

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Feynman-Kac formula

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Itô-Taylor expansion

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finite difference approximation

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one-step method

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.3934/dcdsb.2021233

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cites work

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Q4004325

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Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Risk measures via \(g\)-expectations

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New Second-Order Schemes for Forward Backward Stochastic Differential Equations

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An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations

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Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations

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A multi-step scheme based on cubic spline for solving backward stochastic differential equations

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One-Step Multi-Derivative Methods for Backward Stochastic Differential Equations

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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

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A generalized \(\theta\)-scheme for solving backward stochastic differential equations

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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations

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A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

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Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1504.65020

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Mathematics Subject Classification ID

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10.3934/DCDSB.2021233

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Sitelinks

Mathematics(1 entry)

mardi Publication:2090362