An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations

DOI10.4208/eajam.030614.171014azbMath1317.65031OpenAlexW2328679223MaRDI QIDQ5175453

Weidong Zhao, Yu Fu

Publication date: 23 February 2015

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.030614.171014a

zbMATH Keywords

numerical exampleerror estimateexplicit schemesecond-orderdecoupled forward-backward stochastic differential equationsItô-Taylor type schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Related Items (4)

Numerical methods for backward stochastic differential equations: a survey ⋮ A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations ⋮ Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations ⋮ Multistep schemes for forward backward stochastic differential equations with jumps

Cites Work

• Error expansion for the discretization of backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Numerical method for backward stochastic differential equations
• A forward scheme for backward SDEs
• Numerical methods for forward-backward stochastic differential equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations

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