Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation

DOI10.4208/EAJAM.280515.211015AMaRDI QIDQ5372031zbMATH OpenOpenAlexWikidataFDO

Authors Jie Yang, Weidong Zhao

Publication date 23 October 2017

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

Full work available at URL https://doi.org/10.4208/eajam.280515.211015a

zbMATH Keywords

convergence analysisforward-backward stochastic differential equationsmultistep schemes

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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cites work

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• A forward scheme for backward SDEs
• A numerical scheme for BSDEs
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• Backward Stochastic Differential Equations in Finance
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
• Error expansion for the discretization of backward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• Numerical methods for forward-backward stochastic differential equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Risk measures via g-expectations
• Runge-Kutta schemes for backward stochastic differential equations

Cited in

(13)

• Mean square rate of convergence for random walk approximation of forward-backward SDEs
• Multistep schemes for forward backward stochastic differential equations with jumps
• Strong stability preserving multistep schemes for forward backward stochastic differential equations
• Two-Step Scheme for Backward Stochastic Differential Equations
• Novel multi-step predictor-corrector schemes for backward stochastic differential equations
• A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations
• Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations
• A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
• Numerical methods for backward stochastic differential equations: a survey
• A class of efficient multistep methods for forward backward stochastic differential equations
• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
• Explicit high order one-step methods for decoupled forward backward stochastic differential equations

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