Efficient numerical Fourier methods for coupled forward-backward SDEs

DOI10.1016/j.cam.2015.10.019zbMath1336.65010OpenAlexW3122911651MaRDI QIDQ898981

Cornelis W. Oosterlee, M. J. Ruijter, T. P. Huijskens

Publication date: 21 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.019

zbMATH Keywords

second-order convergencecharacteristic functionnumerical experimentRichardson extrapolationfinancecoupled forward-backward stochastic differential equationscross-hedgingFourier-cosine expansion method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for discrete and fast Fourier transforms (65T50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (12)

Convergence of a Robust Deep FBSDE Method for Stochastic Control ⋮ A Fourier transform method for solving backward stochastic differential equations ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ A regression-based numerical scheme for backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ Convergence of the deep BSDE method for coupled FBSDEs ⋮ The COS method for option valuation under the SABR dynamics ⋮ Deep Splitting Method for Parabolic PDEs ⋮ Gradient convergence of deep learning-based numerical methods for BSDEs ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

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