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Deferred Correction Methods for Forward Backward Stochastic Differential Equations
Tang, Tao1,2; Zhao, Weidong3,4; Zhou, Tao5
2017-05-01
Source PublicationNUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
ISSN1004-8979
Volume10Issue:2Pages:222-242
AbstractThe deferred correction (DC) method is a classical method for solving ordinary differential equations; one of its key features is to iteratively use lower order numerical methods so that high-order numerical scheme can be obtained. The main advantage of the DC approach is its simplicity and robustness. In this paper, the DC idea will be adopted to solve forward backward stochastic differential equations (FBSDEs) which have practical importance in many applications. Noted that it is difficult to design high-order and relatively "clean" numerical schemes for FBSDEs due to the involvement of randomness and the coupling of the FSDEs and BSDEs. This paper will describe how to use the simplest Euler method in each DC step-leading to simple computational complexity-to achieve high order rate of convergence.
KeywordDeferred correction method forward backward stochastic differential equations Euler method high-order scheme
DOI10.4208/nmtma.2017.s02
Language英语
Funding ProjectNational Natural Science Foundation of China[91630203] ; National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[11571206] ; National Natural Science Foundation of China[11571351]
WOS Research AreaMathematics
WOS SubjectMathematics, Applied ; Mathematics
WOS IDWOS:000400931100003
PublisherCAMBRIDGE UNIV PRESS
Citation statistics
Cited Times:12[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/25409
Collection计算数学与科学工程计算研究所
Affiliation1.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China
2.Hong Kong Baptist Univ, Dept Math, Kowloon Tong, Hong Kong, Peoples R China
3.Shandong Univ, Sch Math, Jinan 250100, Peoples R China
4.Shandong Univ, Finance Inst, Jinan 250100, Peoples R China
5.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math, LSEC, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Tang, Tao,Zhao, Weidong,Zhou, Tao. Deferred Correction Methods for Forward Backward Stochastic Differential Equations[J]. NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,2017,10(2):222-242.
APA Tang, Tao,Zhao, Weidong,&Zhou, Tao.(2017).Deferred Correction Methods for Forward Backward Stochastic Differential Equations.NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,10(2),222-242.
MLA Tang, Tao,et al."Deferred Correction Methods for Forward Backward Stochastic Differential Equations".NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS 10.2(2017):222-242.
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