A New Second-Order One-Step Scheme for Solving Decoupled FBSDES and Optimal Error Estimates

DOI10.4208/EAJAM.280519.180919zbMath1472.60113OpenAlexW3014471969MaRDI QIDQ4986603

Yang Li, Jie Yang, Weidong Zhao

Publication date: 27 April 2021

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.280519.180919

zbMATH Keywords

error estimatesecond-order schemeFBSDEssimplified weak Itô-Taylor scheme

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)

Cites Work

• Multistep schemes for forward backward stochastic differential equations with jumps
• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
• A numerical algorithm for a class of BSDEs via the branching process
• Second order discretization of backward SDEs and simulation with the cubature method
• Runge-Kutta schemes for backward stochastic differential equations
• Risk measures via \(g\)-expectations
• Backward Stochastic Differential Equations in Finance
• Linear Multistep Schemes for BSDEs
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

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