An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations

DOI10.4208/EAJAM.030614.171014AMaRDI QIDQ5175453zbMATH OpenOpenAlexFDO

Authors Yu Fu, Weidong Zhao

Publication date 23 February 2015

Published in East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/eajam.030614.171014a

zbMATH Keywords

decoupled forward-backward stochastic differential equationserror estimateexplicit schemeItô-Taylor type schemesnumerical examplesecond-order

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) Error bounds for numerical methods for ordinary differential equations (65L70)

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Cites work

• A forward scheme for backward SDEs
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• Error expansion for the discretization of backward stochastic differential equations
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• Numerical method for backward stochastic differential equations
• Numerical methods for forward-backward stochastic differential equations
• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme

Cited in

(16)

• One order numerical scheme for forward-backward stochastic differential equations
• Multistep schemes for forward backward stochastic differential equations with jumps
• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
• Explicit deferred correction methods for second-order forward backward stochastic differential equations
• A numerical method for forward-backward stochastic equations with delay and anticipated term
• Optimal error estimates for a fully discrete Euler scheme for decoupled forward backward stochastic differential equations
• A first-order numerical scheme for forward-backward stochastic differential equations in bounded domains
• New Second-Order Schemes for Forward Backward Stochastic Differential Equations
• A new second-order one-step scheme for solving decoupled FBSDES and optimal error estimates
• An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
• Explicit high order one-step methods for decoupled forward backward stochastic differential equations
• A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
• Splitting scheme for backward doubly stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• An explicit method for the coupled forward backward stochastic differential equations

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