ODE-Based Multistep Schemes for Backward Stochastic Differential Equations

DOI10.4208/NMTMA.OA-2023-0060MaRDI QIDQ6191796zbMATH OpenOpenAlexFDO

Authors Shuixin Fang, Weidong Zhao

Publication date 11 March 2024

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.oa-2023-0060

zbMATH Keywords

backward stochastic differential equationhigh order discretizationlinear multistep schemeparabolic partial differential equationstrong stability preserving

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(2)

• A class of efficient multistep methods for forward backward stochastic differential equations
• Splitting schemes for backward stochastic differential equations

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