A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis

DOI10.1137/19M1260177zbMath1454.60106OpenAlexW3059438955MaRDI QIDQ5123988

Jie Yang, Weidong Zhao, Tao Zhou

Publication date: 17 September 2020

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1260177

zbMATH Keywords

stabilityconvergence analysisconsistencynumerical schemesforward 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) Stochastic stability in control theory (93E15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (9)

The continuity, regularity and polynomial stability of mild solutions for stochastic 2D-Stokes equations with unbounded delay driven by tempered fractional Gaussian noise ⋮ Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations ⋮ An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations ⋮ Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations ⋮ Stochastic maximum principle for hybrid optimal control problems under partial observation ⋮ 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 ⋮ Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

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