Year: 2018
East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 3 : pp. 399–421
Abstract
The Feynman-Kac formulas are used to develop new second-order numerical schemes for the forward-backward stochastic differential equations (FBSDEs) of the first and second order. The methods are simple and allow an easy implementation. Numerous numerical tests for FBSDEs, fully nonlinear second-order parabolic partial differential equations and the Hamilton-Jacobi-Bellman equations show the stability and a high accuracy of the methods.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.100118.070318
East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 3 : pp. 399–421
Published online: 2018-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 23
Keywords: Forward backward stochastic differential equations Feynman-Kac formula difference approximation second-order scheme.
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