Numerical schemes for fully coupled mean-field forward backward stochastic differential equations

DOI10.3934/DCDSS.2023024MaRDI QIDQ6107312zbMATH OpenOpenAlexFDO

Authors Yabing Sun, Weidong Zhao

Publication date 3 July 2023

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdss.2023024

zbMATH Keywords

fully coupled mean-field forward backward stochastic differential equationnonlinear Feynman-Kac formulanumerical experimentsecond order scheme

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• A General Stochastic Maximum Principle for Optimal Control Problems
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• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
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• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
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• scientific article; zbMATH DE number 933353 (Why is no real title available?)
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Cited in

(11)

• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
• Numerical method for FBSDEs of McKean-Vlasov type
• Itô-Taylor schemes for solving mean-field stochastic differential equations
• An explicit multistep scheme for mean-field forward-backward stochastic differential equations
• Numerical approximations of coupled forward–backward SPDEs
• L^p-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations
• A posteriori estimate for a class of mean-field forward-backward stochastic differential equations
• An accurate numerical scheme for mean-field forward and backward SDEs with jumps
• Well-posedness and comparison theorems of coupled mean-field forward-backward stochastic differential equations
• An explicit method for the coupled forward backward stochastic differential equations
• Numerical methods for mean-field stochastic differential equations with jumps

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