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Volume 12, Issue 3
A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations

Ying Liu, Yabing Sun & Weidong Zhao

DOI: 10.4208/aamm.OA-2019-0079

Adv. Appl. Math. Mech., 12 (2020), pp. 643-663.

Published online: 2020-04

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  • Abstract

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.

  • Keywords

Lagrange interpolation, derivative approximation, coupled forward backward stochastic differential equations, explicit multistep scheme.

  • AMS Subject Headings

65C20, 65C30, 60H35

  • Copyright

COPYRIGHT: © Global Science Press

  • Email address

yingliusdu@163.com (Ying Liu)

sunybly@163.com (Yabing Sun)

wdzhao@sdu.edu.cn (Weidong Zhao)

  • BibTex
  • RIS
  • TXT
@Article{AAMM-12-643, author = {Liu , YingSun , Yabing and Zhao , Weidong}, title = {A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations}, journal = {Advances in Applied Mathematics and Mechanics}, year = {2020}, volume = {12}, number = {3}, pages = {643--663}, abstract = {

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.

}, issn = {2075-1354}, doi = {https://doi.org/10.4208/aamm.OA-2019-0079}, url = {http://global-sci.org/intro/article_detail/aamm/16418.html} }
TY - JOUR T1 - A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations AU - Liu , Ying AU - Sun , Yabing AU - Zhao , Weidong JO - Advances in Applied Mathematics and Mechanics VL - 3 SP - 643 EP - 663 PY - 2020 DA - 2020/04 SN - 12 DO - http://doi.org/10.4208/aamm.OA-2019-0079 UR - https://global-sci.org/intro/article_detail/aamm/16418.html KW - Lagrange interpolation, derivative approximation, coupled forward backward stochastic differential equations, explicit multistep scheme. AB -

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.

Liu , YingSun , Yabing and Zhao , Weidong. (2020). A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations. Advances in Applied Mathematics and Mechanics. 12 (3). 643-663. doi:10.4208/aamm.OA-2019-0079
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