Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation

DOI10.4208/eajam.280515.211015azbMath1422.65023OpenAlexW2503993694WikidataQ115211145 ScholiaQ115211145MaRDI QIDQ5372031

Jie Yang, Weidong Zhao

Publication date: 23 October 2017

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

Full work available at URL: https://doi.org/10.4208/eajam.280515.211015a

zbMATH Keywords

convergence analysisforward-backward stochastic differential equationsmultistep schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)

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Two-Step Scheme for Backward Stochastic Differential Equations, Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs, Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations, A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management, Numerical methods for backward stochastic differential equations: a survey, Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations, Multistep schemes for forward backward stochastic differential equations with jumps, A multi-step scheme based on cubic spline for solving backward stochastic differential equations

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