An explicit multistep scheme for mean-field forward-backward stochastic differential equations

DOI10.4208/JCM.2011-M2019-0205MaRDI QIDQ5079565zbMATH OpenOpenAlexWikidataFDO

Authors Yabing Sun, Jie Yang, Weidong Zhao, Tao Zhou

Publication date 27 May 2022

Published in Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jcm.2011-m2019-0205

zbMATH Keywords

error estimatesexplicit multistep schememean-field forward backward stochastic differential equations

Mathematics Subject Classification ID

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)

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Cites work

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Cited in

(15)

• Itô-Taylor schemes for solving mean-field stochastic differential equations
• A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
• A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
• A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
• An accurate numerical scheme for mean-field forward and backward SDEs with jumps
• Numerical method for FBSDEs of McKean-Vlasov type

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