High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

DOI10.3934/DCDSB.2021233MaRDI QIDQ2090362zbMATH OpenOpenAlexWikidataFDO

Authors Quan Zhou, Yabing Sun

Publication date 25 October 2022

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2021233

zbMATH Keywords

backward stochastic differential equationsFeynman-Kac formulafinite difference approximationItô-Taylor expansionone-step method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• scientific article; zbMATH DE number 54145 (Why is no real title available?)
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• New Second-Order Schemes for Forward Backward Stochastic Differential Equations
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Cited in

(2)

• Explicit high order one-step methods for decoupled forward backward stochastic differential equations
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

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