A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations

DOI10.4208/AAMM.OA-2019-0079MaRDI QIDQ5156963zbMATH OpenOpenAlexFDO

Authors

Publication date 12 October 2021

Published in Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/aamm.oa-2019-0079

zbMATH Keywords

Lagrange interpolationderivative approximationexplicit multistep schemecoupled 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cites work

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Cited in

(16)

• Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• Strong stability preserving multistep schemes for forward backward stochastic differential equations
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations
• Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations
• An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
• Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
• Time discretization and Markovian iteration for coupled FBSDEs
• A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• A class of efficient multistep methods for forward backward stochastic differential equations
• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
• Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates
• An explicit multistep scheme for mean-field forward-backward stochastic differential equations

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