Numerical methods for forward backward stochastic differential equations

MaRDI QIDQ2993622zbMATH OpenFDO

Authors Weidong Zhao

Publication date 10 August 2016

zbMATH Keywords

differential approximationforward backward stochastic differential equationsintegral approximationnonlinearnumerical methodone-step and multi-step methodsparallel computation

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) Parallel numerical computation (65Y05)

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Cited in

(15)

• On the homotopy analysis method for backward/forward-backward stochastic differential equations
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• Numerical approximation of singular forward-backward SDEs
• Numerical methods for forward-backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Deferred Correction Methods for Forward Backward Stochastic Differential Equations
• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• Data informed solution estimation for forward-backward stochastic differential equations
• A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
• NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• Numerical approximations of coupled forward–backward SPDEs
• Theory of forward backward stochastic differential equations and its applications
• Numerical solutions of backward stochastic differential equations: a finite transposition method
• The steepest descent method for forward-backward SDEs

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