High-order combined Multi-step Scheme for solving forward Backward Stochastic Differential Equations

DOI10.1007/S10915-021-01505-ZarXiv2010.01222WikidataQ115382663 ScholiaQ115382663MaRDI QIDQ6350435FDOQ6350435

Publication date: 2 October 2020

Abstract: In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu and T. Zhou, SIAM J. Sci. Comput., 36(4) (2014), pp.A1731-A1751] by combining multi-steps. Two reference ordinary differential equations containing the conditional expectations and their derivatives are derived from the backward component. These derivatives are approximated by finite difference methods with multi-step combinations. The resulting scheme is a semi-discretization in the time direction involving conditional expectations, which are solved by using the Gaussian quadrature rules and polynomial interpolations on the spatial grids. Our new proposed multi-step scheme allows for higher convergence rate up to ninth order, and are more efficient. Finally, we provide a numerical illustration of the convergence of the proposed method.

Mathematics Subject Classification ID

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)

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