A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations

被引：7

作者：

Liu, Ying ^{[1
]}

Sun, Yabing ^{[1
]}

Zhao, Weidong ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China

来源：

ADVANCES IN APPLIED MATHEMATICS AND MECHANICS | 2020年 / 12卷 / 03期

关键词：

Lagrange interpolation; derivative approximation; coupled forward backward stochastic differential equations; explicit multistep scheme; NUMERICAL-METHOD; DISCRETIZATION;

D O I：

10.4208/aamm.OA-2019-0079

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：643 / 663

页数：21

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