Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations

DOI10.1137/17M1161944zbMath1430.60058OpenAlexW2889158623WikidataQ129270951 ScholiaQ129270951MaRDI QIDQ5376443

Yabing Sun, Tao Zhou, Weidong Zhao

Publication date: 18 September 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1161944

zbMATH Keywords

error estimates\(\theta\)-schemesmean-field backward stochastic differential equation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (14)

Numerical methods for mean-field stochastic differential equations with jumps ⋮ Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations ⋮ Backward-forward linear-quadratic mean-field Stackelberg games ⋮ An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations ⋮ Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations ⋮ An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations ⋮ Energy stability of exponential time differencing schemes for the nonlocal Cahn‐Hilliard equation ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations ⋮ 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 Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ 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 ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

Cites Work

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