A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations

DOI10.4208/NMTMA.2016.M1421MaRDI QIDQ5282648zbMATH OpenOpenAlexFDO

Authors Weidong Zhao, Wei Zhang, Lili Ju

Publication date 14 July 2017

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.2016.m1421

zbMATH Keywords

convergencenumerical experimentserror estimatezero-stabilitydecoupled forward-backward stochastic differential equationsbackward orthogonal polynomialsmulti-step numerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

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Cited in

(37)

• A fully quantization-based scheme for FBSDEs
• A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
• A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
• Stability analysis of general multistep methods for Markovian backward stochastic differential equations
• \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations
• Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
• Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations
• A new second-order one-step scheme for solving decoupled FBSDES and optimal error estimates
• Multistep schemes for forward backward stochastic differential equations with jumps
• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• Strong stability preserving multistep schemes for forward backward stochastic differential equations
• High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
• Explicit deferred correction methods for second-order forward backward stochastic differential equations
• Novel multi-step predictor-corrector schemes for 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
• A decreasing step method for strongly oscillating stochastic models
• An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
• ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
• A class of efficient multistep methods for forward backward stochastic differential equations
• Richardson extrapolation of the Euler scheme for backward stochastic differential equations
• A backward doubly stochastic differential equation approach for nonlinear filtering problems
• An efficient alternating direction method of multipliers for optimal control problems constrained by random Helmholtz equations
• An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
• A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
• A first-order numerical scheme for forward-backward stochastic differential equations in bounded domains
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
• Explicit high order one-step methods for decoupled forward backward stochastic differential equations
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
• An explicit multistep scheme for mean-field forward-backward stochastic differential equations

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