Explicit deferred correction methods for second-order forward backward stochastic differential equations

DOI10.1007/s10915-018-00896-wzbMath1420.60094OpenAlexW2907260422MaRDI QIDQ2316181

Jie Yang, Weidong Zhao, Tao Zhou

Publication date: 26 July 2019

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

Full work available at URL: https://doi.org/10.1007/s10915-018-00896-w

zbMATH Keywords

Euler schemedeferred correction methodhigh-order rate of convergencesecond-order forward backward stochastic differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (8)

Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations ⋮ An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Sequential propagation of chaos for mean-field BSDE systems ⋮ An efficient third-order scheme for BSDEs based on nonequidistant difference scheme ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations ⋮ A multi-step scheme based on cubic spline for solving backward stochastic differential equations

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