Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
DOI10.3934/DCDSS.2021044zbMATH Open1484.65014OpenAlexW3157068108WikidataQ115219127 ScholiaQ115219127MaRDI QIDQ2129143FDOQ2129143
Authors: Yanyan Li 
Publication date: 22 April 2022
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2021044
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stochastic characteristicsforward backward stochastic differential equationsexplicit multistep scheme
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)
Cites Work
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Cited In (9)
- Multistep schemes for forward backward stochastic differential equations with jumps
- Explicit deferred correction methods for second-order 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
- A class of efficient multistep methods for forward backward stochastic differential equations
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- An explicit multistep scheme for mean-field forward-backward stochastic differential equations
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