High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (Q2090362)

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High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

scientific article; zbMATH DE number 7606644

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English	High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion	scientific article; zbMATH DE number 7606644

Statements

instance of

scholarly article

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title

High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (English)

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Discrete and Continuous Dynamical Systems. Series B

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publication date

25 October 2022

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zbMATH Keywords

backward stochastic differential equations

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Feynman-Kac formula

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Itô-Taylor expansion

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finite difference approximation

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one-step method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/dcdsb.2021233

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cites work

Quadratic reflected BSDEs with unbounded obstacles

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Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

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Mean-field backward stochastic differential equations and related partial differential equations

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Backward Stochastic Differential Equations in Finance

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Zero-sum stochastic differential games and backward equations

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A numerical algorithm for a class of BSDEs via the branching process

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Q4004325

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Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs

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Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

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An efficient third-order scheme for BSDEs based on nonequidistant difference scheme

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Adapted solution of a backward stochastic differential equation

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A General Stochastic Maximum Principle for Optimal Control Problems

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Risk measures via \(g\)-expectations

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New Second-Order Schemes for Forward Backward Stochastic Differential Equations

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An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations

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An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations

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Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations

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A multi-step scheme based on cubic spline for solving backward stochastic differential equations

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One-step multi-derivative methods for backward stochastic differential equations

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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations

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A generalized \(\theta\)-scheme for solving backward stochastic differential equations

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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations

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A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

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Explicit high order one-step methods for decoupled forward backward stochastic differential equations

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Identifiers

zbMATH Open document ID

1504.65020

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Mathematics Subject Classification ID

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10.3934/DCDSB.2021233

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Sitelinks

Mathematics(1 entry)

mardi Publication:2090362