Multistep schemes for forward backward stochastic differential equations with jumps

DOI10.1007/S10915-016-0212-YMaRDI QIDQ2014031zbMATH OpenOpenAlexFDO

Authors Yu Fu, Weidong Zhao, Tao Zhou

Publication date 10 August 2017

Published in Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10915-016-0212-y

zbMATH Keywords

jump-diffusion processmultistep schemeforward-backward stochastic differential equation with jumps

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Recommendations

• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations

Cites work

• A Fourier cosine method for an efficient computation of solutions to BSDEs
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
• Analysis and approximation of nonlocal diffusion problems with volume constraints
• Backward stochastic differential equations and integral-partial differential equations
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Financial Modelling with Jump Processes
• High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Time discretization and Markovian iteration for coupled FBSDEs

Cited in

(22)

• Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations
• A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
• Multiscale Integration Schemes for Jump-Diffusion Systems
• A new second-order one-step scheme for solving decoupled FBSDES and optimal error estimates
• An overview on deep learning-based approximation methods for partial differential equations
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
• Sinc-\(\theta\) schemes for backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
• Explicit solution to delayed forward and backward stochastic differential equations
• Optimal error estimates for a fully discrete Euler scheme for decoupled forward backward stochastic differential equations
• A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
• Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
• Explicit high order one-step methods for decoupled forward backward stochastic differential equations
• A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
• Richardson extrapolation of the Euler scheme for backward stochastic differential equations

This page was built for publication: Multistep schemes for forward backward stochastic differential equations with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2014031)