A class of efficient multistep methods for forward backward stochastic differential equations

DOI10.4208/NMTMA.OA-2024-0010MaRDI QIDQ6662420

Jie Xiong, Xiao Tang

Publication date: 14 January 2025

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

zbMATH Keywords

multistep methodsconditional expectationsforward backward stochastic differential equationsefficient high-order methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

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