EXPLICIT θ-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

被引：19

作者：

Sun, Yabing ^{[1
]}

Zhao, Weidong ^{[1
]}

Zhou, Tao ^{[2
]}

机构：

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

[2] Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math, LSEC,NCMIS, Beijing 100190, Peoples R China

来源：

SIAM JOURNAL ON NUMERICAL ANALYSIS | 2018年 / 56卷 / 04期

基金：

中国国家自然科学基金;

关键词：

mean-field backward stochastic differential equation; theta-schemes; error estimates; MCKEAN-VLASOV; GAMES; SDES;

D O I：

10.1137/17M1161944

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this work, we propose a class of explicit theta-schemes for solving mean-field backward stochastic differential equations. We first prove a rigorous stability result, based on which sharp error estimates are presented, showing that the proposed theta-schemes yield a second order rate of convergence. Several numerical experiments are carried out to verify the theoretical results. It seems that this is the first attempt to design high order numerical schemes for mean-field backward stochastic differential equations.

引用

页码：2672 / 2697

页数：26

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