One order numerical scheme for forward-backward stochastic differential equations

DOI10.1016/j.amc.2015.08.127zbMath1410.65009OpenAlexW2172006910MaRDI QIDQ1732180

Benxue Gong, Hong-Xing Rui

Publication date: 22 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.08.127

zbMATH Keywords

convergencequasilinear parabolic equationsforward-backward stochastic differential equationsbilinear interpolationcharacteristic difference scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Application of hat basis functions for solving two-dimensional stochastic fractional integral equations

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