A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations

DOI10.4208/nmtma.2016.m1421zbMath1374.65008OpenAlexW2405642557MaRDI QIDQ5282648

Wei Zhang, Weidong Zhao, Lili Ju

Publication date: 14 July 2017

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

Full work available at URL: https://doi.org/10.4208/nmtma.2016.m1421

zbMATH Keywords

convergencenumerical experimentserror estimatezero-stabilitydecoupled forward-backward stochastic differential equationsbackward orthogonal polynomialsmulti-step numerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) 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)

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