Itô-Taylor schemes for solving mean-field stochastic differential equations

DOI10.4208/NMTMA.2017.0007zbMATH Open1399.60121OpenAlexW2754198043MaRDI QIDQ3176045FDOQ3176045

Jie Yang, Yabing Sun, Weidong Zhao

Publication date: 18 July 2018

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/nmtma.2017.0007

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zbMATH Keywords

error estimatemean-field stochastic differential equationItô-Taylor schememean-field Itô-Taylor formula

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (17)

• Numerical methods for mean-field stochastic differential equations with jumps
• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• Title not available (Why is that?)
• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
• Multi-step methods for random ODEs driven by Itô diffusions
• 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
• An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations
• An Ito-Taylor weak 3.0 method for stochastic dynamics of nonlinear systems
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• An accurate numerical scheme for mean-field forward and backward SDEs with jumps
• Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
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• A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps

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