EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

doi:10.1137/17M1161944

	EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
	Sun, Yabing 1; Zhao, Weidong 1; Zhou, Tao2
	2018
发表期刊	SIAM JOURNAL ON NUMERICAL ANALYSIS
ISSN	0036-1429
卷号	56 期号:4 页码:2672-2697
摘要	In this work, we propose a class of explicit theta-schemes for solving mean-field backward stochastic differential equations. We first prove a rigorous stability result, based on which sharp error estimates are presented, showing that the proposed theta-schemes yield a second order rate of convergence. Several numerical experiments are carried out to verify the theoretical results. It seems that this is the first attempt to design high order numerical schemes for mean-field backward stochastic differential equations.
关键词	mean-field backward stochastic differential equation theta-schemes error estimates
DOI	10.1137/17M1161944
语种	英语
资助项目	National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[91630203] ; National Natural Science Foundation of China[11571351] ; National Natural Science Foundation of China[11171189] ; National Natural Science Foundation of China[11571206] ; Science Challenge Project, NCMIS[TZ2016001] ; Youth Innovation Promotion Association (CAS)
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000443291900027
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/31141
专题	计算数学与科学工程计算研究所
通讯作者	Sun, Yabing
作者单位	1.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math, LSEC,NCMIS, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Sun, Yabing,Zhao, Weidong,Zhou, Tao. EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2018,56(4):2672-2697.
APA	Sun, Yabing,Zhao, Weidong,&Zhou, Tao.(2018).EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS.SIAM JOURNAL ON NUMERICAL ANALYSIS,56(4),2672-2697.
MLA	Sun, Yabing,et al."EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS".SIAM JOURNAL ON NUMERICAL ANALYSIS 56.4(2018):2672-2697.