ODE-Based Multistep Schemes for Backward Stochastic Differential Equations

DOI10.4208/nmtma.oa-2023-0060OpenAlexW4387768497MaRDI QIDQ6191796

Weidong Zhao, Shuixin Fang

Publication date: 11 March 2024

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

Full work available at URL: https://doi.org/10.4208/nmtma.oa-2023-0060

zbMATH Keywords

backward stochastic differential equationhigh order discretizationparabolic partial differential equationstrong stability preservinglinear multistep scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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