New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations (Q2930007)
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scientific article
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| English | New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations |
scientific article |
Statements
New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations (English)
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17 November 2014
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high order
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multistep scheme
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diffusion process
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Euler method
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coupled Markovian forward backward stochastic differential equations
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numerical experiment
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0.8728672862052917
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0.8462024331092834
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0.839341402053833
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0.8228409886360168
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