@Article{AAMM-18-322,
author = {Li , Bo and Zhao , Weidong},
title = {High-Efficiency Explicit Multistep Schemes for Coupled Second-Order FBSDEs},
journal = {Advances in Applied Mathematics and Mechanics},
year = {2025},
volume = {18},
number = {1},
pages = {322--347},
abstract = {<p style="text-align: justify;">In this work, by introducing a new family of recursively defined processes, we propose new explicit multistep schemes for coupled second-order forward backward stochastic differential equations. The explicit schemes avoid calculating the conditional mathematical expectations of the generator $f$ and calculate the required values of $f$ explicitly and accurately. By combining the Sinc quadrature rule for approximating the conditional expectations, we further propose the $k$th order ($1\le k\le 6$) fully discrete explicit multistep schemes. Numerical tests are presented to demonstrate the strong stability, high accuracy, and high efficiency of the explicit schemes.</p>},
issn = {2075-1354},
doi = {https://doi.org/10.4208/aamm.OA-2024-0273},
url = {http://global-sci.org/intro/article_detail/aamm/24529.html}
}