Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations

DOI10.4208/IJNAM2024-1011MaRDI QIDQ6565281zbMATH OpenFDO

Authors Yafei Xu, Weidong Zhao

Publication date 1 July 2024

Published in International Journal of Numerical Analysis and Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/IJNAM2024-1011

zbMATH Keywords

Adomian decompositionasymptotic error expansionbackward stochastic differential equationsCrank-Nicolson schemeRichardson extrapolation

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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• scientific article; zbMATH DE number 1069628 (Why is no real title available?)
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Cited in

(3)

• Richardson extrapolation of the Euler scheme for backward stochastic differential equations
• Green's function representation and numerical approximation of the two-dimensional stochastic Stokes equation
• Splitting schemes for backward stochastic differential equations

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