New Second-Order Schemes for Forward Backward Stochastic Differential Equations

被引：14
|
作者：
Sun, Yabing [1 ]
Zhao, Weidong [2 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
[2] Shandong Univ, Sch Math & Finance Inst, Jinan 250100, Shandong, Peoples R China
来源：
EAST ASIAN JOURNAL ON APPLIED MATHEMATICS | 2018年 / 8卷 / 03期
关键词：
Forward backward stochastic differential equations; Feynman-Kac formula; difference approximation; second-order scheme; ORDER NUMERICAL SCHEMES; MULTISTEP SCHEMES; THETA-SCHEME; DISCRETIZATION; CONVERGENCE;
D O I：
10.4208/eajam.100118.070318
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：399 / 421
页数：23
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