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 control; multistep schemes; second-order forward backward stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations