Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

DOI10.4208/eajam.220116.070316azbMath1422.65020OpenAlexW2484532328MaRDI QIDQ5372048

Weidong Zhao, Yu Fu, Jie Yang

Publication date: 23 October 2017

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.220116.070316a

zbMATH Keywords

convergence analysisprediction-correction schemedecoupled forward backward stochastic differential equation with jumps

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 (6)

A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations ⋮ Multistep schemes for forward backward stochastic differential equations with jumps ⋮ A New Second-Order One-Step Scheme for Solving Decoupled FBSDES and Optimal Error Estimates ⋮ An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations

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