An efficient numerical method for forward-backward stochastic differential equations driven by G-Brownian motion

DOI10.1016/J.APNUM.2021.03.012MaRDI QIDQ2029145zbMATH OpenOpenAlexWikidataFDO

Authors Mingshang Hu, Lianzi Jiang

Publication date 3 June 2021

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.00253

zbMATH Keywords

\(G\)-Brownian motionbackward stochastic differential equationsfully nonlinear PDEsnumerical schemes

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by $G$-Brownian motion ($G$-FBSDEs) which correspond to fully nonlinear partial differential equations (PDEs). First, we give an approximate conditional $G$-expectation and obtain feasible methods to calculate the distribution of $G$-Brownian motion. On this basis, some efficient numerical schemes for $G$-FBSDEs are then proposed. We rigorously analyze errors of the proposed schemes and prove the convergence results. Finally, several numerical experiments are given to demonstrate the accuracy of our method.

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Cited in

(9)

• Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations
• An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion
• Pathwise convergence under Knightian uncertainty
• Numerical simulations for G-Brownian motion
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• Milstein scheme for stochastic differential equations driven by G-Brownian motion
• On distribution-dependent stochastic differential equations with non-Lipschitz coefficients driven by G -Brownian motion

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