A numerical method for forward-backward stochastic equations with delay and anticipated term

DOI10.1016/J.SPL.2019.01.032zbMath1433.60044OpenAlexW2914851030MaRDI QIDQ2322581

Jie Xiong, Shuaiqi Zhang

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.01.032

zbMATH Keywords

delayFBSDEsanticipated

Mathematics Subject Classification ID

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

Related Items (1)

A stochastic maximum principle for partially observed stochastic control systems with delay

Cites Work

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• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A numerical scheme for BSDEs
• Path regularity for solutions of backward stochastic differential equations
• Numerical method for backward stochastic differential equations
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Numerical methods for forward-backward stochastic differential equations
• An approximation for the Zakai equation

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