High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control

DOI10.4208/cicp.OA-2016-0056zbMath1499.65027arXiv1502.03206MaRDI QIDQ5158726

Weidong Zhao, Tao Zhou, Tao Kong

Publication date: 26 October 2021

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.03206

zbMATH Keywords

stochastic optimal controlmultistep schemessecond-order forward backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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