Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations

DOI10.4208/aamm.OA-2022-0073OpenAlexW4321610051WikidataQ117217811 ScholiaQ117217811MaRDI QIDQ5889046

Xu Wang, Weidong Zhao

Publication date: 26 April 2023

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.oa-2022-0073

zbMATH Keywords

error estimatesforward backward stochastic differential equationssinc quadrature rulemultistep schemes

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)

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