Second-order schemes for solving decoupled forward backward stochastic differential equations

DOI10.1007/s11425-013-4764-0zbMath1314.65012arXiv1412.7821OpenAlexW1434088925MaRDI QIDQ2254815

Yang Li, Weidong Zhao, Yu Fu, Guannan Zhang, Wei Zhang

Publication date: 6 February 2015

Published in: Science China. Mathematics, Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.7821

zbMATH Keywords

convergenceerror estimatessecond-order convergenceMalliavin calculuserror estimateEuler methodnumerical experimentsecond-order schemetrapezoidal rulebackward Kolmogorov equationnonlinear Feynman-Kac formulaMilstein methodforward backward stochastic differential equationsItô-Taylor methoddecoupled FBSDEs with Lévy jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs ⋮ Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations ⋮ \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations ⋮ A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations ⋮ Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations

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