TY - JOUR
T1 - New Second-Order Schemes for Forward Backward Stochastic Differential Equations
JO - East Asian Journal on Applied Mathematics
VL - 3
SP - 399
EP - 421
PY - 2018
DA - 2018/08
SN - 8
DO - http://doi.org/10.4208/eajam.100118.070318
UR - https://global-sci.org/intro/article_detail/eajam/12615.html
KW - Forward backward stochastic differential equations, Feynman-Kac formula, difference 
approximation, second-order scheme.
AB - <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>