One-Step Multi-Derivative Methods for Backward Stochastic Differential Equations

DOI10.4208/NMTMA.OA-2018-0122zbMath1463.60092OpenAlexW2955521675MaRDI QIDQ5128444

Jing-Wen Wu, Weidong Zhao, Cheng-Jian Zhang

Publication date: 27 October 2020

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/nmtma.oa-2018-0122

zbMATH Keywords

backward stochastic differential equationsthird-order accuracy\(\theta\)-methodItô-Taylor expansionone-step multi-derivative methods

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

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