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

DOI10.1007/s11075-019-00754-2zbMath1456.65008OpenAlexW2953487103MaRDI QIDQ2181649

Yabing Sun, Weidong Zhao

Publication date: 19 May 2020

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-019-00754-2

zbMATH Keywords

error estimatesstability analysisMonte Carlo methodforward backward stochastic differential equationTaylor scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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)

Related Items

Numerical methods for mean-field stochastic differential equations with jumps ⋮ Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

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