New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
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Publication:2930007
DOI10.1137/130941274zbMath1316.65014arXiv1310.5307MaRDI QIDQ2930007
Publication date: 17 November 2014
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.5307
diffusion process; Euler method; numerical experiment; high order; multistep scheme; coupled Markovian forward backward stochastic differential equations
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations