Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps
文献类型：期刊论文
| 作者 | Fu, Yu1,2; Zhao, Weidong1,2; Zhou, Tao3
|
| 刊名 | JOURNAL OF SCIENTIFIC COMPUTING
 |
| 出版日期 | 2016-11-01 |
| 卷号 | 69期号:2页码:651-672 |
| 关键词 | Multistep scheme Jump-diffusion process Forward backward stochastic differential equation with jumps |
| ISSN号 | 0885-7474 |
| DOI | 10.1007/s10915-016-0212-y |
| 英文摘要 | In this work, we are concerned with multistep schemes for solving forward backward stochastic differential equations with jumps. The proposed multistep schemes admit many advantages. First of all, motivated by the local property of jump diffusion processes, the Euler method is used to solve the associated forward stochastic differential equation with jump, which reduce dramatically the entire computational complexity, however, the quantities of interests in the backward stochastic differential equations (with jump) are still of high order rate of convergence. Secondly, in each time step, only one jump is involved in the computational procedure, which again reduces dramatically the computational complexity. Finally, the method applies easily to partial-integral differential equations (and some nonlocal PDE models), by using the generalized Feynman-Kac formula. Several numerical experiments are presented to demonstrate the effectiveness of the proposed multistep schemes. |
| 资助项目 | National Natural Science Foundations of China[11571206] ; National Natural Science Foundations of China[91530118] ; National Natural Science Foundations of China[11571351] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000385151700009 |
| 出版者 | SPRINGER/PLENUM PUBLISHERS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/23961]  |
| 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.Shandong Univ, Sch Math, Jinan 250100, Peoples R China 2.Shandong Univ, Inst Finance, Jinan 250100, Peoples R China 3.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 | Fu, Yu,Zhao, Weidong,Zhou, Tao. Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps[J]. JOURNAL OF SCIENTIFIC COMPUTING,2016,69(2):651-672. |
| APA | Fu, Yu,Zhao, Weidong,&Zhou, Tao.(2016).Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps.JOURNAL OF SCIENTIFIC COMPUTING,69(2),651-672. |
| MLA | Fu, Yu,et al."Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps".JOURNAL OF SCIENTIFIC COMPUTING 69.2(2016):651-672. |
入库方式： OAI收割
来源：数学与系统科学研究院
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