Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations

Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations

Year:    2023

Author:    Xu Wang, Weidong Zhao

Advances in Applied Mathematics and Mechanics, Vol. 15 (2023), Iss. 3 : pp. 737–768

Abstract

In this work, by combining the multistep discretization in time and the Sinc quadrature rule for approximating the conditional mathematical expectations, we will propose new fully discrete multistep schemes called “Sinc-multistep schemes” for forward backward stochastic differential equations (FBSDEs). The schemes avoid spatial interpolations and admit high order of convergence. The stability and the $K$-th order error estimates in time for the $K$-step Sinc multistep schemes are theoretically proved $(1≤K≤6).$ This seems to be the first time for analyzing fully time-space discrete multistep schemes for FBSDEs. Numerical examples are also presented to demonstrate the effectiveness, stability, and high order of convergence of the proposed schemes.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/aamm.OA-2022-0073

Advances in Applied Mathematics and Mechanics, Vol. 15 (2023), Iss. 3 : pp. 737–768

Published online:    2023-01

AMS Subject Headings:    Global Science Press

Copyright:    COPYRIGHT: © Global Science Press

Pages:    32

Keywords:    Forward backward stochastic differential equations multistep schemes Sinc quadrature rule error estimates.

Author Details

Xu Wang

Weidong Zhao