AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

doi:10.4208/jcm.2011-m2019-0205

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	AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
	Sun, Yabing 1,2; Yang, Jie 3; Zhao, Weidong 4; Zhou, Tao 5
	2021-03-12
发表期刊	JOURNAL OF COMPUTATIONAL MATHEMATICS
ISSN	0254-9409
页码	25
摘要	This is one of our series works on numerical methods for mean-field forward backward stochastic differential equations (MFBSDEs). In this work, we propose an explicit multistep scheme for MFBSDEs which is easy to implement, and is of high order rate of convergence. Rigorous error estimates of the proposed multistep scheme are presented. Numerical experiments are carried out to show the efficiency and accuracy of the proposed scheme.
关键词	Mean-field forward backward stochastic differential equations Explicit multistep scheme Error estimates
DOI	10.4208/jcm.2011-m2019-0205
收录类别	SCI
语种	英语
资助项目	national key basic research program[2018YFB0704304] ; national key basic research program[2018YFA0703903] ; Science Challenge Project[TZ2018001] ; NSF of China[11831010] ; NSF of China[11871068] ; NSF of China[11822111] ; NSF of China[11688101] ; NSF of China[11801320] ; NSF of China[12071261] ; NSF of China[12001539] ; Natural Science Foundation of Shandong Province[ZR2018BA005] ; NSF of Hunan Province[2020JJ5647] ; China Postdoctoral Science Foundation[2019TQ0073]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000716945500001
出版者	GLOBAL SCIENCE 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/59543
专题	中国科学院数学与系统科学研究院
通讯作者	Zhao, Weidong
作者单位	1.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China 2.Natl Univ Def Technol, Coll Sci, Changsha 410073, Peoples R China 3.Shandong Univ, Sch Math & Stat, Weihai 264209, Peoples R China 4.Shandong Univ, Sch Math & Finance Inst, Jinan 250100, Peoples R China 5.Chinese Acad Sci, LSEC, Inst Computat Math, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Sun, Yabing,Yang, Jie,Zhao, Weidong,et al. AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS[J]. JOURNAL OF COMPUTATIONAL MATHEMATICS,2021:25.
APA	Sun, Yabing,Yang, Jie,Zhao, Weidong,&Zhou, Tao.(2021).AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS.JOURNAL OF COMPUTATIONAL MATHEMATICS,25.
MLA	Sun, Yabing,et al."AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS".JOURNAL OF COMPUTATIONAL MATHEMATICS (2021):25.