A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

DOI10.1137/09076979XMaRDI QIDQ2999838zbMATH OpenOpenAlexFDO

Authors Weidong Zhao, Guannan Zhang, Lili Ju

Publication date 17 May 2011

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/09076979x

zbMATH Keywords

backward stochastic differential equationGauss-Hermite quadraturemultistep methodnumerical stability

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) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(64)

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• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
• A first order semi-discrete algorithm for backward doubly stochastic differential equations
• A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• An overview on deep learning-based approximation methods for partial differential equations
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• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
• Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
• A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
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• Novel multi-step predictor-corrector schemes for backward stochastic differential equations
• Recent developments in machine learning methods for stochastic control and games
• Richardson extrapolation of the Euler scheme for backward stochastic differential equations
• A class of efficient multistep methods for forward backward stochastic differential equations
• Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates
• An explicit method for the coupled forward backward stochastic differential equations
• Multilevel Picard iterations for parabolic stochastic partial differential equations
• Error estimates of finite element methods for the nonlinear backward stochastic Stokes equations
• A class of Runge-Kutta methods for backward stochastic differential equations
• Splitting schemes for backward stochastic differential equations
• Assimilating partial observation to enhance feedback control of stochastic dynamical systems
• A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
• Deep random difference method for high-dimensional quasilinear parabolic partial differential equations
• Dissipative cascaded multistep backward stochastic differential equation (BSDE) with polynomial growth
• Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis

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