An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations

DOI10.4208/jcm.2011-m2019-0205zbMath1499.65021OpenAlexW4224879771WikidataQ115210959 ScholiaQ115210959MaRDI QIDQ5079565

Yabing Sun, Jie Yang, Tao Zhou, Weidong Zhao

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)

Related Items

Numerical schemes for fully coupled mean-field forward backward stochastic differential equations

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