Open AccessExplicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
Author(s) -
Ying Liu,
Yabing Sun,
Weidong Zhang
Publication year - 2022
Publication title -
discrete and continuous dynamical systems. series s
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.481
H-Index - 34
eISSN - 1937-1632
pISSN - 1937-1179
DOI - 10.3934/dcdss.2021044
Subject(s) - stochastic differential equation , stochastic approximation , backward differentiation formula , scheme (mathematics) , mathematics , stability (learning theory) , derivative (finance) , linear multistep method , differential equation , computer science , mathematical analysis , differential algebraic equation , ordinary differential equation , asynchronous communication , machine learning , financial economics , economics , computer network
In this work, by combining with stochastic approximation methods, we proposed a new explicit multistep scheme for solving the forward backward stochastic differential equations. Compared with the one constructed by using derivative approximation method, the new one covers the approximation of the stochastic part and is more accurate and easier to realize. Several numerical tests are presented to show the stability and effectiveness of the proposed scheme.