Year: 2024
Numerical Mathematics: Theory, Methods and Applications, Vol. 17 (2024), Iss. 4 : pp. 904–932
Abstract
A class of efficient multistep methods for forward backward stochastic differential equations (FBSDEs) are proposed and studied in this paper. According to the characteristic of our multistep methods and replacing the corresponding Brownian motion increments with appropriate two-point distributed random variables, we obtain a very efficient algorithm to approximate the conditional expectations involved in the multistep methods. It is thanks to this efficient algorithm that we can obtain a class of efficient fully discrete form of high-order methods for the FBSDEs. Finally, some numerical results are presented to illustrate the efficiency of our multistep methods.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/nmtma.OA-2024-0010
Numerical Mathematics: Theory, Methods and Applications, Vol. 17 (2024), Iss. 4 : pp. 904–932
Published online: 2024-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 29
Keywords: Forward backward stochastic differential equations multistep methods efficient high-order methods conditional expectations.