High-order combined multi-step scheme for solving forward backward stochastic differential equations

DOI10.1007/s10915-021-01505-zOpenAlexW3159965175WikidataQ115382663 ScholiaQ115382663MaRDI QIDQ2028543

Long Teng, Weidong Zhao

Publication date: 1 June 2021

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.01222

zbMATH Keywords

finite difference methodforward backward stochastic differential equationsmulti-step schemeGauss-Hermite quadrature ruletime-space grid

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey

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