Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
Year: 2021
Author: Quan Zhou, Yabing Sun
Advances in Applied Mathematics and Mechanics, Vol. 13 (2021), Iss. 6 : pp. 1293–1317
Abstract
By using the Feynman-Kac formula and combining with Itô-Taylor expansion and finite difference approximation, we first develop an explicit third order one-step method for solving decoupled forward backward stochastic differential equations. Then based on the third order one, an explicit fourth order method is further proposed. Several numerical tests are also presented to illustrate the stability and high order accuracy of the proposed methods.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.OA-2020-0133
Advances in Applied Mathematics and Mechanics, Vol. 13 (2021), Iss. 6 : pp. 1293–1317
Published online: 2021-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 25
Keywords: Decoupled forward backward stochastic differential equations Itô-Taylor expansion finite difference approximation explicit one-step method high order convergence.
Author Details
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High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
Zhou, Quan
Sun, Yabing
Discrete and Continuous Dynamical Systems - B, Vol. 27 (2022), Iss. 8 P.4387
https://doi.org/10.3934/dcdsb.2021233 [Citations: 2]