An explicit multistep scheme for mean-field forward-backward stochastic differential equations
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Publication:5079565
DOI10.4208/JCM.2011-M2019-0205zbMATH Open1499.65021OpenAlexW4224879771WikidataQ115210959 ScholiaQ115210959MaRDI QIDQ5079565FDOQ5079565
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
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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)
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
- Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
- An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
- Numerical method for FBSDEs of McKean-Vlasov type
- Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
- A multi-step scheme based on cubic spline for solving backward stochastic differential equations
- A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
- A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
- 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
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
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