@Article{EAJAM-8-3,
author = {},
title = {New Second-Order Schemes for Forward Backward Stochastic Differential Equations},
journal = {East Asian Journal on Applied Mathematics},
year = {2018},
volume = {8},
number = {3},
pages = {399--421},
abstract = {<p style="text-align: justify;">The Feynman-Kac formulas are used to develop new second-order numerical
schemes for the forward-backward stochastic differential equations (FBSDEs) of the first
and second order. The methods are simple and allow an easy implementation. Numerous
numerical tests for FBSDEs, fully nonlinear second-order parabolic partial differential
equations and the Hamilton-Jacobi-Bellman equations show the stability and a high
accuracy of the methods.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.100118.070318},
url = {https://global-sci.com/article/82659/new-second-order-schemes-for-forward-backward-stochastic-differential-equations}
}