KMS Of Academy of mathematics and systems sciences, CAS
| Deferred Correction Methods for Forward Backward Stochastic Differential Equations | |
Tang, Tao1,2; Zhao, Weidong3,4; Zhou, Tao5
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| 2017-05-01 | |
| Source Publication | NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
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| ISSN | 1004-8979 |
| Volume | 10Issue:2Pages:222-242 |
| Abstract | The 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. |
| Keyword | Deferred correction method forward backward stochastic differential equations Euler method high-order scheme |
| DOI | 10.4208/nmtma.2017.s02 |
| Language | 英语 |
| Funding Project | National 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 Area | Mathematics |
| WOS Subject | Mathematics, Applied ; Mathematics |
| WOS ID | WOS:000400931100003 |
| Publisher | CAMBRIDGE UNIV PRESS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/25409 |
| Collection | 计算数学与科学工程计算研究所 |
| Affiliation | 1.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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