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

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)

Cites Work

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Adapted solution of a backward stochastic differential equation
Error expansion for the discretization of backward stochastic differential equations
Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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Runge-Kutta schemes for backward stochastic differential equations
Numerical methods for forward-backward stochastic differential equations
New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
On the wavelet-based SWIFT method for backward stochastic differential equations
New Second-Order Schemes for Forward Backward Stochastic Differential Equations
Stability analysis of general multistep methods for Markovian backward stochastic differential equations
Linear Multistep Schemes for BSDEs
A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
Numerical Algorithms for Forward-Backward Stochastic Differential Equations
Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations
Strong stability preserving multistep schemes for forward backward stochastic differential equations
ODE-Based Multistep Schemes for Backward Stochastic Differential Equations

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