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

DOI10.4208/cicp.OA-2016-0056zbMath1499.65027arXiv1502.03206MaRDI QIDQ5158726

Weidong Zhao, Tao Zhou, Tao Kong

Publication date: 26 October 2021

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.03206

zbMATH Keywords

stochastic optimal controlmultistep schemessecond-order forward backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (21)

On some neural network architectures that can represent viscosity solutions of certain high dimensional Hamilton-Jacobi partial differential equations ⋮ Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes ⋮ Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations ⋮ Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations ⋮ Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise ⋮ On the homotopy analysis method for backward/forward-backward stochastic differential equations ⋮ An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations ⋮ A high-order numerical scheme for stochastic optimal control problem ⋮ A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters ⋮ An Efficient Gradient Projection Method for Stochastic Optimal Control Problems ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ An efficient third-order scheme for BSDEs based on nonequidistant difference scheme ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations ⋮ A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations ⋮ Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ Multistep schemes for forward backward stochastic differential equations with jumps ⋮ A multi-step scheme based on cubic spline for solving backward stochastic differential equations ⋮ Explicit deferred correction methods for second-order forward backward stochastic differential equations ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

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