@Article{AAMM-15-3,
author = {Xu, Wang and Zhao, Weidong},
title = {Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations},
journal = {Advances in Applied Mathematics and Mechanics},
year = {2023},
volume = {15},
number = {3},
pages = {737--768},
abstract = {<p style="text-align: justify;">In this work, by combining the multistep discretization in time and the Sinc
quadrature rule for approximating the conditional mathematical expectations, we will
propose new fully discrete multistep schemes called “Sinc-multistep schemes” for forward backward stochastic differential equations (FBSDEs). The schemes avoid spatial
interpolations and admit high order of convergence. The stability and the $K$-th order
error estimates in time for the $K$-step Sinc multistep schemes are theoretically proved $(1≤K≤6).$ This seems to be the first time for analyzing fully time-space discrete multistep schemes for FBSDEs. Numerical examples are also presented to demonstrate the
effectiveness, stability, and high order of convergence of the proposed schemes.</p>},
issn = {2075-1354},
doi = {https://doi.org/10.4208/aamm.OA-2022-0073},
url = {https://global-sci.com/article/72851/sinc-multistep-schemes-for-forward-backward-stochastic-differential-equations}
}