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Deferred Correction Methods for Forward Backward Stochastic Differential Equations

Deferred Correction Methods for Forward Backward Stochastic Differential Equations
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Year:    2017

Numerical Mathematics: Theory, Methods and Applications, Vol. 10 (2017), Iss. 2 : pp. 222–242

Abstract

The deferred correction (DC) method is a classical method for solving ordinary differential equations; one of its key features is to iteratively use lower order numerical methods so that high-order numerical scheme can be obtained. The main advantage of the DC approach is its simplicity and robustness. In this paper, the DC idea will be adopted to solve forward backward stochastic differential equations (FBSDEs) which have practical importance in many applications. Noted that it is difficult to design high-order and relatively "clean" numerical schemes for FBSDEs due to the involvement of randomness and the coupling of the FSDEs and BSDEs. This paper will describe how to use the simplest Euler method in each DC step–leading to simple computational complexity–to achievehigh order rate of convergence.

Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/nmtma.2017.s02

Numerical Mathematics: Theory, Methods and Applications, Vol. 10 (2017), Iss. 2 : pp. 222–242

Published online:    2017-01

AMS Subject Headings:   

Copyright:    COPYRIGHT: © Global Science Press

Pages:    21

Keywords:   

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