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A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations

A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
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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.

Author Details

Ying Liu

Yabing Sun

Weidong Zhao

  1. Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations

    Liu, Ying | Sun, Yabing | Zhao, Weidong

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  2. Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach

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    SIAM Journal on Control and Optimization, Vol. 60 (2022), Iss. 3 P.1488

    https://doi.org/10.1137/20M1340769 [Citations: 4]

  3. Strong Stability Preserving Multistep Schemes for Forward Backward Stochastic Differential Equations

    Fang, Shuixin | Zhao, Weidong | Zhou, Tao

    Journal of Scientific Computing, Vol. 94 (2023), Iss. 3

    https://doi.org/10.1007/s10915-023-02111-x [Citations: 1]