scientific article

zbMath1281.65016MaRDI QIDQ2865649

Weidong Zhao, Yang Li, Lili Ju

Publication date: 2 December 2013

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume10-1.htm

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

backward stochastic differential equationserror estimateCrank-Nicolson scheme\(\theta\)-scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear first-order PDEs (35F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Finite difference and finite volume methods for ordinary differential equations (65L12)

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Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs ⋮ Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations ⋮ Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis ⋮ \(L^p\)-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 ⋮ ODE-Based Multistep Schemes for Backward Stochastic Differential Equations ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ Second-order schemes for solving decoupled forward backward stochastic differential equations ⋮ High-order combined multi-step scheme for solving forward backward stochastic differential equations ⋮ A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

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