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

DOI10.4208/AAMM.OA-2019-0079zbMATH Open1488.65012OpenAlexW4236926531MaRDI QIDQ5156963FDOQ5156963

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

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

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)

Cites Work

• Title not available (Why is that?)
• Stochastic differential equations. An introduction with applications.
• Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• A General Stochastic Maximum Principle for Optimal Control Problems
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• 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
• Adapted solution of a backward stochastic differential equation
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Risk measures via \(g\)-expectations
• An interpolated stochastic algorithm for quasi-linear PDEs
• Numerical Methods for Ordinary Differential Equations
• Mean-field backward stochastic differential equations and related partial differential equations
• Error expansion for the discretization of backward stochastic differential equations
• Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
• Mean-field backward stochastic differential equations: A limit approach
• Solution of forward-backward stochastic differential equations
• Numerical methods for forward-backward stochastic differential equations
• Zero-sum stochastic differential games and backward equations
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Itô-Taylor schemes for solving mean-field stochastic differential equations
• Title not available (Why is that?)
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
• A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
• Numerical approximation of BSDEs using local polynomial drivers and branching processes
• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
• Probabilistic high order numerical schemes for fully nonlinear parabolic PDEs
• A first-order numerical scheme for forward-backward stochastic differential equations in bounded domains
• New Second-Order Schemes for Forward Backward Stochastic Differential Equations
• Explicit deferred correction methods for second-order forward backward stochastic differential equations

Cited In (16)

• 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
• 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
• 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
• 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
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• 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

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)