High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control (Q5158726): Difference between revisions

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scientific article; zbMATH DE number 7413972

Language	Label	Description	Also known as
English	High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control	scientific article; zbMATH DE number 7413972

Statements

instance of

scholarly article

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title

High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control (English)

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Communications in Computational Physics

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publication date

26 October 2021

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full work available at URL

https://arxiv.org/abs/1502.03206

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zbMATH Keywords

multistep schemes

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second-order forward backward stochastic differential equations

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stochastic optimal control

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MaRDI profile type

MaRDI publication profile

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cites work

Time discretization and Markovian iteration for coupled FBSDEs

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Conjugate convex functions in optimal stochastic control

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Runge-Kutta schemes for backward stochastic differential equations

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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Numerical methods for forward-backward stochastic differential equations

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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Multistep schemes for forward backward stochastic differential equations with jumps

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A monotone scheme for high-dimensional fully nonlinear PDEs

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Backward Stochastic Differential Equations in Finance

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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On Numerical Approximations of Forward-Backward Stochastic Differential Equations

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Forward-backward stochastic differential equations and their applications

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Numerical Algorithms for Forward-Backward Stochastic Differential Equations

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Stochastic differential equations. An introduction with applications.

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Adapted solution of a backward stochastic differential equation

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Wellposedness of second order backward SDEs

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A numerical scheme for BSDEs

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A New Kind of Accurate Numerical Method for 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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A Stable Multistep Scheme for Solving 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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A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1499.65027

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DOI

10.4208/cicp.OA-2016-0056

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5158726

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+MaRDI publication profile
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+Normal rank
@@ Property / arXiv ID @@
+.03206
@@ Property / arXiv ID: 1502.03206 / rank @@
+Normal rank
@@ Property / cites work @@
+Time discretization and Markovian iteration for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Runge-Kutta schemes for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Numerical methods for forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Multistep schemes for forward backward stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+A monotone scheme for high-dimensional fully nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+On Numerical Approximations of Forward-Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+Numerical Algorithms for Forward-Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Wellposedness of second order backward SDEs
@@ Property / cites work: Wellposedness of second order backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+A New Kind of Accurate Numerical Method for 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 @@
+A Stable Multistep Scheme for Solving 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
@@ Property / cites work @@
+A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5158726