Open AccessHigh order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
Author(s) -
Quan Zhou,
Yabing Sun
Publication year - 2022
Publication title -
discrete and continuous dynamical systems. series b
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.864
H-Index - 53
eISSN - 1553-524X
pISSN - 1531-3492
DOI - 10.3934/dcdsb.2021233
Subject(s) - taylor series , convergence (economics) , stochastic differential equation , order (exchange) , mathematics , feynman diagram , class (philosophy) , work (physics) , differential equation , rate of convergence , mathematical analysis , computer science , key (lock) , physics , mathematical physics , finance , artificial intelligence , economics , thermodynamics , economic growth , computer security
In this work, by combining the Feynman-Kac formula with an Itô-Taylor expansion, we propose a class of high order one-step schemes for backward stochastic differential equations, which can achieve at most six order rate of convergence and only need the terminal conditions on the last one step. Numerical experiments are carried out to show the efficiency and high order accuracy of the proposed schemes.