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Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
Authors:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
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Forward backward stochastic differential equations  stochastic optimal control  stochastic maximum principle  projected quasi-Newton methods  
A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2020, 卷号: 58, 期号: 4, 页码: 2351-2375
Authors:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
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forward backward stochastic differential equations  numerical schemes  stability  consistency  convergence analysis  
Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 3, 页码: 1409-1432
Authors:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
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Deferred correction method  Second-order forward backward stochastic differential equations  Euler scheme  High-order rate of convergence  
EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2672-2697
Authors:  Sun, Yabing;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:21/0  |  Submit date:2018/10/07
mean-field backward stochastic differential equation  theta-schemes  error estimates  
EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2672
Authors:  Sun, Yabing;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:18/0  |  Submit date:2019/12/31
EFFICIENT SPECTRAL SPARSE GRID APPROXIMATIONS FOR SOLVING MULTI-DIMENSIONAL FORWARD BACKWARD SDES 期刊论文
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2017, 卷号: 22, 期号: 9, 页码: 3439-3458
Authors:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:14/0  |  Submit date:2018/07/30
Spectral method  sparse grid approximations  forward backward stochastic differential equations  conditional expectations  fast Fourier transform  
Deferred Correction Methods for Forward Backward Stochastic Differential Equations 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2017, 卷号: 10, 期号: 2, 页码: 222-242
Authors:  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
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Deferred correction method  forward backward stochastic differential equations  Euler method  high-order scheme  
AN EFFICIENT GRADIENT PROJECTION METHOD FOR STOCHASTIC OPTIMAL CONTROL PROBLEMS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2017, 卷号: 55, 期号: 6, 页码: 2982-3005
Authors:  Gong, Bo;  Liu, Wenbin;  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:8/0  |  Submit date:2018/07/30
stochastic optimal control  gradient projection methods  backward stochastic differential equations  conditional expectations  
deferredcorrectionmethodsforforwardbackwardstochasticdifferentialequations 期刊论文
numericalmathematicstheorymethodsandapplications, 2017, 卷号: 10, 期号: 2, 页码: 222
Authors:  Tang Tao;  Zhao Weidong;  Zhou Tao
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Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2016, 卷号: 69, 期号: 2, 页码: 651-672
Authors:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:14/0  |  Submit date:2018/07/30
Multistep scheme  Jump-diffusion process  Forward backward stochastic differential equation with jumps