An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations

DOI10.4208/eajam.271119.200220zbMath1472.60114OpenAlexW3034653771MaRDI QIDQ4986617

Weidong Zhao, Yabing Sun

Publication date: 27 April 2021

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

Full work available at URL: https://doi.org/10.4208/eajam.271119.200220

zbMATH Keywords

error estimateexplicit schemesecond order convergenceanticipated 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 (1)

High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

Cites Work

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• A type of general forward-backward stochastic differential equations and applications
• A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
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• Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

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