Stability analysis of general multistep methods for Markovian backward stochastic differential equations

DOI10.1093/imanum/drab023zbMath1498.65025OpenAlexW3163629433WikidataQ115275213 ScholiaQ115275213MaRDI QIDQ5075168

Xiao Tang, Jie Xiong

Publication date: 10 May 2022

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drab023

zbMATH Keywords

convergence analysisstability analysislinear multistep methodsforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Strong stability preserving multistep schemes for forward backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ ODE-Based Multistep Schemes for Backward Stochastic Differential Equations

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