Deferred Correction Methods for Forward Backward Stochastic Differential Equations

doi:10.4208/nmtma.2017.s02

	Deferred Correction Methods for Forward Backward Stochastic Differential Equations
	Tang, Tao 1,2; Zhao, Weidong 3,4; Zhou, Tao5
	2017-05-01
发表期刊	NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
ISSN	1004-8979
卷号	10 期号:2 页码:222-242
摘要	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.
关键词	Deferred correction method forward backward stochastic differential equations Euler method high-order scheme
DOI	10.4208/nmtma.2017.s02
语种	英语
资助项目	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研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000400931100003
出版者	CAMBRIDGE UNIV PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/25409
专题	计算数学与科学工程计算研究所
通讯作者	Zhou, Tao
作者单位	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
推荐引用方式 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.