Deferred Correction Methods for Forward Backward Stochastic Differential Equations

DOI10.4208/nmtma.2017.s02zbMath1389.60083OpenAlexW2612382021MaRDI QIDQ3132629

Weidong Zhao, Tao Zhou, Tao Tang

Publication date: 29 January 2018

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/f9406528d31409277df26cfda67ccf5c68836be7

zbMATH Keywords

Euler methodhigh-order schemedeferred correction methodforward backward stochastic differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (18)

Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes ⋮ An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations ⋮ Deferred correction methods for ordinary differential equations ⋮ A high order accurate numerical algorithm for the space-fractional Swift-Hohenberg equation ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations ⋮ An Efficient Gradient Projection Method for Stochastic Optimal Control Problems ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates ⋮ ODE-Based Multistep Schemes for Backward Stochastic Differential Equations ⋮ An efficient third-order scheme for BSDEs based on nonequidistant difference scheme ⋮ Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations ⋮ Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates ⋮ Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ An efficient alternating direction method of multipliers for optimal control problems constrained by random Helmholtz equations ⋮ Semi-Implicit Spectral Deferred Correction Method Based on the Invariant Energy Quadratization Approach for Phase Field Problems ⋮ Asymptotic Preserving Spectral Deferred Correction Methods for Hyperbolic Systems with Relaxation ⋮ Explicit deferred correction methods for second-order forward backward stochastic differential equations

This page was built for publication: Deferred Correction Methods for Forward Backward Stochastic Differential Equations