A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations

DOI10.4208/aamm.OA-2019-0079zbMath1488.65012OpenAlexW4236926531MaRDI QIDQ5156963

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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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations ⋮ Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations ⋮ Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach ⋮ Strong stability preserving multistep schemes for forward backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates

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