deferredcorrectionmethodsforforwardbackwardstochasticdifferentialequations

	deferredcorrectionmethodsforforwardbackwardstochasticdifferentialequations
	Tang Tao 1; Zhao Weidong 2; Zhou Tao3
	2017
发表期刊	numericalmathematicstheorymethodsandapplications
ISSN	1004-8979
卷号	10 期号:2 页码:222
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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/47895
专题	计算数学与科学工程计算研究所
作者单位	1.南方科技大学 2.山东大学 3.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Tang Tao,Zhao Weidong,Zhou Tao. deferredcorrectionmethodsforforwardbackwardstochasticdifferentialequations[J]. numericalmathematicstheorymethodsandapplications,2017,10(2):222.
APA	Tang Tao,Zhao Weidong,&Zhou Tao.(2017).deferredcorrectionmethodsforforwardbackwardstochasticdifferentialequations.numericalmathematicstheorymethodsandapplications,10(2),222.
MLA	Tang Tao,et al."deferredcorrectionmethodsforforwardbackwardstochasticdifferentialequations".numericalmathematicstheorymethodsandapplications 10.2(2017):222.