New Second-Order Schemes for Forward Backward Stochastic Differential Equations

DOI10.4208/eajam.100118.070318zbMath1478.65009OpenAlexW2811378458WikidataQ129586297 ScholiaQ129586297MaRDI QIDQ4985215

Yabing Sun, Weidong Zhao

Publication date: 22 April 2021

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.100118.070318

zbMATH Keywords

Feynman-Kac formuladifference approximationsecond-order schemeforward backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Numerical Simulations of Stochastic Differential Equations with Multiple Conserved Quantities by Conservative Methods ⋮ A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations ⋮ Numerical schemes for fully coupled mean-field 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 ⋮ A multi-step scheme based on cubic spline for solving backward stochastic differential equations ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

Cites Work

• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Numerical methods for forward-backward stochastic differential equations
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• An interpolated stochastic algorithm for quasi-linear PDEs
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