Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations

DOI10.4208/aamm.OA-2020-0133zbMath1488.65018WikidataQ115211404 ScholiaQ115211404MaRDI QIDQ5157090

Quan Zhou, Yabing Sun

Publication date: 12 October 2021

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

zbMATH Keywords

finite difference approximationItô-Taylor expansionhigh order convergenceexplicit one-step methoddecoupled forward backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations ⋮ The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

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