High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control
Year: 2017
Communications in Computational Physics, Vol. 21 (2017), Iss. 3 : pp. 808–834
Abstract
This is one of our series papers on multistep schemes for solving forward backward stochastic differential equations (FBSDEs) and related problems. Here we extend (with non-trivial updates) our multistep schemes in [W. Zhao, Y. Fu and T. Zhou, SIAM J. Sci. Comput., 36 (2014), pp. A1731-A1751] to solve the second-order FBSDEs (2FBSDEs). The key feature of the multistep schemes is that the Euler method is used to discretize the forward SDE, which dramatically reduces the entire computational complexity. Moreover, it is shown that the usual quantities of interest (e.g., the solution tuple ($Y_t$,$Z_t$,$A_t$,$Γ_t$) of the 2FBSDEs) are still of high order accuracy. Several numerical examples are given to show the effectiveness of the proposed numerical schemes. Applications of our numerical schemes to stochastic optimal control problems are also presented.
You do not have full access to this article.
Already a Subscriber? Sign in as an individual or via your institution
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/cicp.OA-2016-0056
Communications in Computational Physics, Vol. 21 (2017), Iss. 3 : pp. 808–834
Published online: 2017-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 27