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)

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Cites work

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• 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

(27)

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

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