Multistep schemes for forward backward stochastic differential equations with jumps
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Publication:2014031
DOI10.1007/S10915-016-0212-YzbMATH Open1368.60072OpenAlexW2343510531MaRDI QIDQ2014031FDOQ2014031
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
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Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
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- Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
Cited In (22)
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Optimal error estimates for a fully discrete Euler scheme for decoupled forward backward stochastic differential equations
- 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
- 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
- Explicit solution to delayed forward and backward stochastic differential equations
- Multiscale Integration Schemes for Jump-Diffusion Systems
- Sinc-\(\theta\) schemes for backward stochastic differential equations
- A multi-step scheme based on cubic spline for solving 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
- Richardson extrapolation of the Euler scheme for backward stochastic differential equations
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
- A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- 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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