@Article{AAMM-12-3,
author = {Ying, Liu and Yabing, Sun and Zhao, Weidong},
title = {A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations},
journal = {Advances in Applied Mathematics and Mechanics},
year = {2020},
volume = {12},
number = {3},
pages = {643--663},
abstract = {<p style="text-align: justify;">In this work, we are concerned with the explicit multistep scheme for solving the coupled forward backward stochastic differential equations (FBSDEs). Based on the Lagrange interpolation and first-order derivative approximations, we will propose a fully discrete explicit high-order multistep scheme for solving coupled FBSDEs. Its high accuracy, efficiency and stability are verified by the numerical experiments.</p>},
issn = {2075-1354},
doi = {https://doi.org/10.4208/aamm.OA-2019-0079},
url = {https://global-sci.com/article/73049/a-fully-discrete-explicit-multistep-scheme-for-solving-coupled-forward-backward-stochastic-differential-equations}
}