Numerical methods for forward-backward stochastic differential equations

DOI10.1214/AOAP/1034968235zbMATH Open0861.65131OpenAlexW2052883417MaRDI QIDQ2564697FDOQ2564697

Authors: Jim jun. Douglas, Jin Ma, Philip Protter 

Publication date: 24 April 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034968235

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zbMATH Keywords

convergenceBrownian motionforward-backward stochastic differential equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Cites Work

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• Hedging options for a large investor and forward-backward SDE's
• PDE solutions of stochastic differential utility
• Finite Difference Methods for Two-Phase Incompressible Flow in Porous Media
• Efficient and equilibrium allocations with stochastic differential utility
• Black's consol rate conjecture

Cited In (87)

• Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
• A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
• Strong stability preserving multistep schemes for forward backward stochastic differential equations
• Forward-backward stochastic differential equations: initiation, development and beyond
• Novel multi-step predictor-corrector schemes for backward stochastic differential equations
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
• A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis
• ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
• Stochastic maximum principle for hybrid optimal control problems under partial observation
• Partially observable Markov decision process for perimeter control based on a stochastic macroscopic fundamental diagram
• A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
• A Fourier transform method for solving backward stochastic differential equations
• A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
• A class of efficient multistep methods for forward backward stochastic differential equations
• Richardson extrapolation of the Euler scheme for backward stochastic differential equations
• Stability of backward stochastic differential equations: the general Lipschitz case
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• Going forward \& backward with Jin Ma
• On the existence of solution to one–dimensional forward–backward sdes
• A monotone scheme for high-dimensional fully nonlinear PDEs
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
• BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
• One order numerical scheme for forward-backward stochastic differential equations
• An interpolated stochastic algorithm for quasi-linear PDEs
• Stochastic differential games: a sampling approach via FBSDEs
• Approximate solvability of forward-backward stochastic differential equations
• Malliavin calculus for backward stochastic differential equations and application to numerical solutions
• Stochastic ordering by \(g\)-expectations
• A modified MSA for stochastic control problems
• Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
• A numerical scheme for BSDEs
• Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
• Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• Second order discretization of backward SDEs and simulation with the cubature method
• A numerical method for forward-backward stochastic equations with delay and anticipated term
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• Numerical method for backward stochastic differential equations
• Optimal consumption and portfolio selection with stochastic differential utility
• A generalized Neyman-Pearson Lemma for \(g\)-probabilities
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations
• Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
• Deep Splitting Method for Parabolic PDEs
• New Second-Order Schemes for Forward Backward Stochastic Differential Equations
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
• Gradient convergence of deep learning-based numerical methods for BSDEs
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
• Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
• Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Discrete time approximation of BSDEs driven by a Lévy process
• Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A forward-backward stochastic algorithm for quasi-linear PDEs
• Numerical solutions of backward stochastic differential equations: a finite transposition method
• Deferred Correction Methods for Forward Backward Stochastic Differential Equations
• Least-Squares Monte Carlo for Backward SDEs
• On the homotopy analysis method for backward/forward-backward stochastic differential equations
• Time discretization and Markovian iteration for coupled FBSDEs
• A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
• A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
• The steepest descent method for forward-backward SDEs
• A numerical scheme for backward doubly stochastic differential equations
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• Numerical methods for backward stochastic differential equations: a survey
• The forward-backward stochastic heat equation: numerical analysis and simulation
• A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
• OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
• \( G\)-expectation approach to stochastic ordering
• Numerical method for reflected backward stochastic differential equations
• Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing
• High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
• A convolution method for numerical solution of backward stochastic differential equations
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
• Discretization of backward semilinear stochastic evolution equations
• A branching particle system approximation for a class of FBSDEs
• High-order combined multi-step scheme for solving forward backward stochastic differential equations
• A forward scheme for backward SDEs

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