A generalized -scheme for solving backward stochastic differential equations
DOI10.3934/DCDSB.2012.17.1585zbMATH Open1250.60033OpenAlexW2327420989MaRDI QIDQ432591FDOQ432591
Authors: Weidong Zhao, Yang Li, Guannan Zhang 
Publication date: 4 July 2012
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2012.17.1585
Recommendations
- Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
- A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
- Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
- Sinc-\(\theta\) schemes for backward stochastic differential equations
- Error estimates of the Crank-Nicolson scheme for solving backward stochastic differential equations
backward stochastic differential equationserror estimatesecond ordernumerical tests\(\theta\)-scheme
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cited In (35)
- \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- A stability theorem for solutions to backward stochastic differential equations
- Efficient computation of various valuation adjustments under local Lévy models
- Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
- Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs
- Optimal error estimates for a fully discrete Euler scheme for decoupled forward backward stochastic differential equations
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- Asymptotic behavior of solutions for a free boundary problem with a nonlinear gradient absorption
- An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
- Second order discretization of backward SDEs and simulation with the cubature method
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
- Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
- A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
- Sinc-\(\theta\) schemes for backward stochastic differential equations
- Front-like entire solutions for a Lotka-Volterra weak competition system with nonlocal dispersal
- ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
- Stochastic grid bundling method for backward stochastic differential equations
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
- A Fourier transform method for solving backward stochastic differential equations
- Efficient numerical Fourier methods for coupled forward-backward SDEs
- Numerical methods for backward stochastic differential equations: a survey
- \(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations
- Richardson extrapolation of the Euler scheme for backward stochastic differential equations
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
- High-order combined multi-step scheme for solving forward backward stochastic differential equations
This page was built for publication: A generalized \(\theta\)-scheme for solving backward stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q432591)
