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

DOI10.3934/dcdsb.2021233zbMath1504.65020OpenAlexW3203879389WikidataQ115219156 ScholiaQ115219156MaRDI QIDQ2090362

Quan Zhou, Yabing Sun

Publication date: 25 October 2022

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2021233

zbMATH Keywords

backward stochastic differential equationsone-step methodFeynman-Kac formulafinite difference approximationItô-Taylor expansion

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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