Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis

DOI10.1007/s11464-014-0366-6zbMath1329.60240OpenAlexW2044858806MaRDI QIDQ893337

Weidong Zhao, Wei Zhang

Publication date: 19 November 2015

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-014-0366-6

zbMATH Keywords

forward-backward stochastic differential equationsweak couplingtime discretizationEuler-type schemefirst-order error estimates

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)

Related Items (2)

Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs ⋮ \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A generalized \(\theta\)-scheme for solving backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• The steepest descent method for forward-backward SDEs
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• A numerical scheme for BSDEs
• Numerical method for backward stochastic differential equations
• \(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
• Second order discretization of backward SDEs and simulation with the cubature method
• Time discretization and Markovian iteration for coupled FBSDEs
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A forward-backward stochastic algorithm for quasi-linear PDEs
• Risk measures via \(g\)-expectations
• Numerical methods for forward-backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• A General Stochastic Maximum Principle for Optimal Control Problems
• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
• An interpolated stochastic algorithm for quasi-linear PDEs
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations

This page was built for publication: Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis