A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
Year: 2020
Author: Ying Liu, Yabing Sun, Weidong Zhao
Advances in Applied Mathematics and Mechanics, Vol. 12 (2020), Iss. 3 : pp. 643–663
Abstract
In this work, we are concerned with the explicit multistep scheme for solving the coupled forward backward stochastic differential equations (FBSDEs). Based on the Lagrange interpolation and first-order derivative approximations, we will propose a fully discrete explicit high-order multistep scheme for solving coupled FBSDEs. Its high accuracy, efficiency and stability are verified by the numerical experiments.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.OA-2019-0079
Advances in Applied Mathematics and Mechanics, Vol. 12 (2020), Iss. 3 : pp. 643–663
Published online: 2020-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 21
Keywords: Lagrange interpolation derivative approximation coupled forward backward stochastic differential equations explicit multistep scheme.
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