Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations (Q4605728): Difference between revisions

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scientific article; zbMATH DE number 6844314

Language	Label	Description	Also known as
English	Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations	scientific article; zbMATH DE number 6844314

Statements

instance of

scholarly article

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title

Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations (English)

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East Asian Journal on Applied Mathematics

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publication date

27 February 2018

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full work available at URL

https://semanticscholar.org/paper/dc467d113d40c6d20d6f635ca70fe98530e6bee3

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zbMATH Keywords

forward backward stochastic differential equations

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fully discrete scheme

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error estimate

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MaRDI profile type

MaRDI publication profile

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cites work

Q4357509

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A forward scheme for backward SDEs

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Multistep schemes for forward backward stochastic differential equations with jumps

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Risk measures via \(g\)-expectations

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Backward Stochastic Differential Equations in Finance

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Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

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Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs

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Q4764049

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Numerical Algorithms for Forward-Backward Stochastic Differential Equations

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Adapted solution of a backward stochastic differential equation

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A General Stochastic Maximum Principle for Optimal Control Problems

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Q4657107

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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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A generalized \(\theta\)-scheme for solving backward stochastic differential equations

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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations

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A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

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A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations

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New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

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Second-order schemes for solving decoupled forward backward stochastic differential equations

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A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1382.60092

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DOI

10.4208/eajam.110417.070517a

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Q4357509
@@ Property / cites work: Q4357509 / rank @@
+Normal rank
@@ Property / cites work @@
+A forward scheme for backward SDEs
@@ Property / cites work: A forward scheme for backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Multistep schemes for forward backward stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Probabilistic High Order Numerical Schemes for Fully Nonlinear                     Parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Q4764049
@@ Property / cites work: Q4764049 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Algorithms for Forward-Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Q4657107
@@ Property / cites work: Q4657107 / rank @@
+Normal rank
@@ Property / cites work @@
+A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+A generalized \(\theta\)-scheme for solving backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Second-order schemes for solving decoupled forward backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
+Normal rank