A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
From MaRDI portal
Publication:5282648
backward orthogonal polynomialsconvergencedecoupled forward-backward stochastic differential equationserror estimatemulti-step numerical schemenumerical experimentszero-stability
Ordinary differential equations and systems with randomness (34F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)
Recommendations
- An explicit multistep scheme for mean-field forward-backward stochastic differential equations
- Multistep schemes for forward backward stochastic differential equations with jumps
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
- Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- High-order combined multi-step scheme for solving forward backward stochastic differential equations
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
- Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
- New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
Cited in
(41)- An efficient alternating direction method of multipliers for optimal control problems constrained by random Helmholtz equations
- Multistep schemes for forward backward stochastic differential equations with jumps
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- A fully quantization-based scheme for FBSDEs
- 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
- Explicit deferred correction methods for second-order forward backward stochastic differential equations
- A decreasing step method for strongly oscillating stochastic models
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
- 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 first-order numerical scheme for forward-backward stochastic differential equations in bounded domains
- A new second-order one-step scheme for solving decoupled FBSDES and optimal error estimates
- An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
- Stability analysis of general multistep methods for Markovian backward stochastic differential equations
- An explicit multistep scheme for mean-field forward-backward stochastic differential equations
- Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations
- A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
- Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
- A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
- Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- L^p-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations
- Numerical methods for backward stochastic differential equations: a survey
- ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
- A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Novel multi-step predictor-corrector schemes for backward stochastic differential equations
- Richardson extrapolation of the Euler scheme for backward stochastic differential equations
- A class of efficient multistep methods for forward backward stochastic differential equations
- An explicit method for the coupled forward backward stochastic differential equations
- Error estimates of finite element methods for the nonlinear backward stochastic Stokes equations
- A class of Runge-Kutta methods for backward stochastic differential equations
- Splitting schemes for backward stochastic differential equations
This page was built for publication: A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5282648)
