Numerical methods for forward-backward stochastic differential equations
From MaRDI portal
This paper presents numerical methods for approximating the solutions of forward-backward stochastic differential equations of the form \[ X_t=x+\int^t_0 b(s,X_s,Y_s,Z_s)ds+ \int^t_0\sigma(s,X_s,Y_s)dW_s, \] \[ Y_t=g(X_T)+ \int^T_t\widehat b(s,X_s,Y_s,Z_s)ds+ \int^T_t\widehat\sigma(s,X_s,Y_s,Z_s)dW_s, \] where \(t\in[0,T]\), \(\{W_t\}\) is a \(d\)-dimensional Brownian motion, \((X,Y,Z)\) takes values in \(\mathbb{R}^m\times\mathbb{R}^m\times\mathbb{R}^{m\times d}\), and \(b\), \(\widehat b\), \(\sigma\), \(\widehat\sigma\), and \(g\) are smooth. The bulk of the paper is devoted to introducing approximations needed to devise the numerical methods, proving that the resulting approximate solutions converge to the actual solution, and establishing the rate of this convergence.
Recommendations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Numerical methods for forward backward stochastic differential equations
- Numerical method for reflected backward stochastic differential equations
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
Cites work
- Backward-forward stochastic differential equations
- Black's consol rate conjecture
- Efficient and equilibrium allocations with stochastic differential utility
- Finite Difference Methods for Two-Phase Incompressible Flow in Porous Media
- Hedging options for a large investor and forward-backward SDE's
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 3516003 (Why is no real title available?)
- scientific article; zbMATH DE number 3895476 (Why is no real title available?)
- Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
- PDE solutions of stochastic differential utility
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Cited in
(only showing first 100 items - show all)- A numerical scheme for BSDEs
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- One order numerical scheme for forward-backward stochastic differential equations
- Numerical method for backward stochastic differential equations
- A numerical scheme for backward doubly stochastic differential equations
- Optimal consumption and portfolio selection with stochastic differential utility
- High-order combined multi-step scheme for solving forward backward stochastic differential equations
- An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- Stochastic ordering by \(g\)-expectations
- Gradient convergence of deep learning-based numerical methods for BSDEs
- \( G\)-expectation approach to stochastic ordering
- Numerical approximation of singular forward-backward SDEs
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- A modified MSA for stochastic control problems
- Backward stochastic Volterra integral equations -- representation of adapted solutions
- Stochastic differential games: a sampling approach via FBSDEs
- A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
- A branching particle system approximation for a class of FBSDEs
- A multi-step scheme based on cubic spline for solving backward stochastic differential equations
- A numerical method for forward-backward stochastic equations with delay and anticipated term
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- A monotone scheme for high-dimensional fully nonlinear PDEs
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
- A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
- Second order discretization of backward SDEs and simulation with the cubature method
- A forward scheme for backward SDEs
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Time discretization and Markovian iteration for coupled FBSDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Discretization of backward semilinear stochastic evolution equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- A Fourier transform method for solving backward stochastic differential equations
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- The forward-backward stochastic heat equation: numerical analysis and simulation
- Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes
- Least-squares Monte Carlo for backward SDEs
- Numerical methods for forward backward stochastic differential equations
- Numerical method for reflected backward stochastic differential equations
- Deferred Correction Methods for Forward Backward Stochastic Differential Equations
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
- Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
- Mean-square convergence of numerical approximations for a class of backward stochastic differential equations
- On the existence of solution to one–dimensional forward–backward sdes
- Deep splitting method for parabolic PDEs
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
- A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
- An explicit multistep scheme for mean-field forward-backward stochastic differential equations
- A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
- One-step multi-derivative methods for backward stochastic differential equations
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
- An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
- A convolution method for numerical solution of backward stochastic differential equations
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- Discrete time approximation of BSDEs driven by a Lévy process
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
- Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
- NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
- An interpolated stochastic algorithm for quasi-linear PDEs
- Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
- Some analytic approximations for backward stochastic differential equations
- Approximate solvability of forward-backward stochastic differential equations
- Splitting scheme for backward doubly stochastic differential equations
- Stochastic maximum principle for hybrid optimal control problems under partial observation
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- Numerical methods for backward stochastic differential equations: a survey
- Going forward \& backward with Jin Ma
- Forward-backward stochastic differential equations: initiation, development and beyond
- Stability of backward stochastic differential equations: the general Lipschitz case
- Approximation solutions of backward fuzzy stochastic differential equations
- ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
- Partially observable Markov decision process for perimeter control based on a stochastic macroscopic fundamental diagram
- Numerical solutions of backward stochastic differential equations: a finite transposition method
- A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
- Novel multi-step predictor-corrector schemes for backward stochastic differential equations
- Richardson extrapolation of the Euler scheme for backward stochastic differential equations
- A class of efficient multistep methods for forward backward stochastic differential equations
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- An explicit method for the coupled forward backward stochastic differential equations
- Mirror descent for stochastic control problems with measure-valued controls
- A class of Runge-Kutta methods for backward stochastic differential equations
- Splitting schemes for backward stochastic differential equations
- A generalized Neyman-Pearson Lemma for \(g\)-probabilities
- An optimal-order backpropagation algorithm for stochastic neural networks
- Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
This page was built for publication: Numerical methods for forward-backward stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2564697)
