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High-Efficiency Explicit Multistep Schemes for Coupled Second-Order FBSDEs
Bo Li and Weidong Zhao

Adv. Appl. Math. Mech. DOI: 10.4208/aamm.OA-2024-0273

Publication Date : 2025-09-25

  • Abstract

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.


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