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

coupled forward backward stochastic differential equationsderivative approximationexplicit multistep schemeLagrange interpolation

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)

Recommendations

• New kinds of high-order multistep schemes for 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
• An explicit multistep scheme for mean-field forward-backward stochastic differential equations
• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations

Cites work

• A first-order numerical scheme for forward-backward stochastic differential equations in bounded domains
• A General Stochastic Maximum Principle for Optimal Control Problems
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
• Adapted solution of a backward stochastic differential equation
• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
• An interpolated stochastic algorithm for quasi-linear PDEs
• Backward Stochastic Differential Equations in Finance
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
• Error expansion for the discretization of backward stochastic differential equations
• Explicit deferred correction methods for second-order forward backward stochastic differential equations
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 1069628 (Why is no real title available?)
• scientific article; zbMATH DE number 2210947 (Why is no real title available?)
• Itô-Taylor schemes for solving mean-field stochastic differential equations
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• New Second-Order Schemes for Forward Backward Stochastic Differential Equations
• Numerical approximation of BSDEs using local polynomial drivers and branching processes
• Numerical methods for forward-backward stochastic differential equations
• Numerical Methods for Ordinary Differential Equations
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
• Probabilistic high order numerical schemes for fully nonlinear parabolic PDEs
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Risk measures via g-expectations
• Solution of forward-backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic differential equations. An introduction with applications.
• Zero-sum stochastic differential games and backward equations

Cited in

(18)

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

This page was built for publication: A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5156963)