Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

DOI10.1093/IMANUM/DRL019zbMATH Open1109.65009OpenAlexW2023088894MaRDI QIDQ3417898FDOQ3417898

Authors: M. V. Tretyakov, Grigori N. Milstein 

Publication date: 31 January 2007

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drl019

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zbMATH Keywords

Monte Carlo methodsnumerical experimentsmean square convergencestochastic differential equationsfinite differencesquasi-linear parabolic partial differential equationsforward-backward equations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (29)

• A monotone scheme for high-dimensional fully nonlinear PDEs
• A probabilistic method for numerical solution of quasi-linear parabolic equations
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• An interpolated stochastic algorithm for quasi-linear PDEs
• Layer methods for stochastic Navier-Stokes equations using simplest characteristics
• A modified MSA for stochastic control problems
• A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
• Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach
• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Monte Carlo method for parabolic equations involving fractional Laplacian
• A forward-backward stochastic algorithm for quasi-linear PDEs
• On the homotopy analysis method for backward/forward-backward stochastic differential equations
• Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
• Numerical methods for backward stochastic differential equations: a survey
• Solving parabolic stochastic partial differential equations via averaging over characteristics
• A class of efficient multistep methods for forward 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
• Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem
• Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
• A convolution method for numerical solution of backward stochastic differential equations
• Deep splitting method for parabolic PDEs
• Explicit high order one-step methods for decoupled forward backward stochastic differential equations
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
• High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

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