Linear Multistep Schemes for BSDEs

DOI10.1137/120902951zbMath1326.65017arXiv1306.5548OpenAlexW2007567546MaRDI QIDQ5245390

Jean-François Chassagneux

Publication date: 8 April 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.5548

zbMATH Keywords

stabilitybackward stochastic differential equationslinear multistep methodsorder of convergencenumerical test

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) 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 (31)

Two-Step Scheme for Backward Stochastic Differential Equations ⋮ Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations ⋮ Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations ⋮ Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations ⋮ Three ways to solve partial differential equations with neural networks — A review ⋮ Strong stability preserving multistep schemes for forward backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Temporal semi-discretizations of a backward semilinear stochastic evolution equation ⋮ ODE-Based Multistep Schemes for Backward Stochastic Differential Equations ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ Nesting Monte Carlo for high-dimensional non-linear PDEs ⋮ Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations ⋮ Random walk approximation of BSDEs with Hölder continuous terminal condition ⋮ An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Deep Splitting Method for Parabolic PDEs ⋮ Cubature method to solve BSDEs: Error expansion and complexity control ⋮ A multi-step scheme based on cubic spline for solving backward stochastic differential equations ⋮ Multilevel Picard iterations for solving smooth semilinear parabolic heat equations ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ A New Second-Order One-Step Scheme for Solving Decoupled FBSDES and Optimal Error Estimates ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations ⋮ Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation ⋮ Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs ⋮ Numerical Stability Analysis of the Euler Scheme for BSDEs ⋮ Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance ⋮ Numerical simulation of quadratic BSDEs

This page was built for publication: Linear Multistep Schemes for BSDEs