Year: 2019
Author: Jingwen Wu, Weidong Zhao, Chengjian Zhang, Jingwen Wu, Weidong Zhao
Numerical Mathematics: Theory, Methods and Applications, Vol. 12 (2019), Iss. 4 : pp. 1213–1230
Abstract
This paper deals with numerical solutions of backward stochastic differential equations (BSDEs). For solving BSDEs, a class of third-order one-step multi-derivative methods are derived. Several numerical examples are presented to illustrate the computational effectiveness and high-order accuracy of the methods. To show the advantage of the methods, a comparison with $\theta$-methods is also given.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/nmtma.OA-2018-0122
Numerical Mathematics: Theory, Methods and Applications, Vol. 12 (2019), Iss. 4 : pp. 1213–1230
Published online: 2019-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: Backward stochastic differential equations one-step multi-derivative methods $\theta$-method Itô-Taylor expansion third-order accuracy.
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