Novel multi-step predictor-corrector schemes for backward stochastic differential equations

被引：0

作者：

Han, Qiang ^{[1
]}

Ji, Shaolin ^{[2
]}

机构：

[1] Yangzhou Univ, Sch Math Sci, Yangzhou 225002, Peoples R China

[2] Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China

来源：

COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2024年 / 139卷

基金：

中国国家自然科学基金;

关键词：

Decoupled forward-backward stochastic; differential equation; Multi-step predictor-corrector scheme; High order discretization; Stability; ALGORITHM; APPROXIMATION;

D O I：

10.1016/j.cnsns.2024.108269

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Novel multi-step predictor-corrector numerical schemes have been derived for approximating decoupled forward-backward stochastic differential equations. The stability and high order rate of convergence of the proposed schemes are rigorously proved. We also present a sufficient and necessary condition for the stability of the schemes. Numerical experiments are given to illustrate the stability and convergence rates of the proposed methods.

引用

页数：16

共 36 条

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