High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion | Zendy

Quan Zhou | Zendy; Yabing Sun | Zendy

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High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

Author(s) -

Quan Zhou,

Yabing Sun

Publication year - 2021

Publication title -

discrete and continuous dynamical systems - 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) , mathematics , stochastic differential equation , order (exchange) , class (philosophy) , work (physics) , feynman diagram , differential equation , mathematical analysis , computer science , physics , mathematical physics , finance , artificial intelligence , thermodynamics , economic growth , economics

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.

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