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.
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页数：16
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