Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis

DOI10.1007/S11464-014-0366-6MaRDI QIDQ893337zbMATH OpenOpenAlexFDO

Authors Wei Zhang, Weidong Zhao

Publication date 19 November 2015

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-014-0366-6

zbMATH Keywords

time discretizationforward-backward stochastic differential equationsweak couplingEuler-type schemefirst-order error estimates

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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Cites work

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Cited in

(5)

• \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations
• Optimal error estimates for a fully discrete Euler scheme for decoupled forward backward stochastic differential equations
• New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
• Time discretization and Markovian iteration for coupled FBSDEs
• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

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