New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

DOI10.1137/130941274zbMath1316.65014arXiv1310.5307MaRDI QIDQ2930007

Weidong Zhao, Yu Fu, Tao Zhou

Publication date: 17 November 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.5307

zbMATH Keywords

diffusion process; Euler method; numerical experiment; high order; multistep scheme; coupled Markovian forward backward stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations