Year: 2022
Author: Yabing Sun, Jie Yang, Weidong Zhao, Tao Zhou
Journal of Computational Mathematics, Vol. 40 (2022), Iss. 4 : pp. 517–540
Abstract
This is one of our series works on numerical methods for mean-field forward backward stochastic differential equations (MFBSDEs). In this work, we propose an explicit multistep scheme for MFBSDEs which is easy to implement, and is of high order rate of convergence. Rigorous error estimates of the proposed multistep scheme are presented. Numerical experiments are carried out to show the efficiency and accuracy of the proposed scheme.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.2011-m2019-0205
Journal of Computational Mathematics, Vol. 40 (2022), Iss. 4 : pp. 517–540
Published online: 2022-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 24
Keywords: Mean-field forward backward stochastic differential equations Explicit multistep scheme Error estimates.