Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations

DOI10.3934/DCDSS.2021044MaRDI QIDQ2129143zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

stochastic characteristicsforward backward stochastic differential equationsexplicit multistep scheme

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

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
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• Numerical Methods for Ordinary Differential Equations
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Cited in

(9)

• Explicit deferred correction methods for second-order forward backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
• A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
• An explicit multistep scheme for mean-field forward-backward stochastic differential equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• Multistep schemes for forward backward stochastic differential equations with jumps
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
• A class of efficient multistep methods for forward backward stochastic differential equations

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