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Deferred Correction Methods for Forward Backward Stochastic Differential Equations

文献类型：期刊论文

作者Tang, Tao1,2; Zhao, Weidong3,4; Zhou, Tao5
刊名NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
出版日期2017-05-01
卷号10期号:2页码:222-242
关键词Deferred correction method forward backward stochastic differential equations Euler method high-order scheme
ISSN号1004-8979
DOI10.4208/nmtma.2017.s02
英文摘要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.
资助项目National Natural Science Foundation of China[91630203] ; National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[11571206] ; National Natural Science Foundation of China[11571351]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000400931100003
出版者CAMBRIDGE UNIV PRESS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/25408]  
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.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China
2.Hong Kong Baptist Univ, Dept Math, Kowloon Tong, Hong Kong, Peoples R China
3.Shandong Univ, Sch Math, Jinan 250100, Peoples R China
4.Shandong Univ, Finance Inst, Jinan 250100, Peoples R China
5.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		 Tang, Tao,Zhao, Weidong,Zhou, Tao. Deferred Correction Methods for Forward Backward Stochastic Differential Equations[J]. NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,2017,10(2):222-242.
APA Tang, Tao,Zhao, Weidong,&Zhou, Tao.(2017).Deferred Correction Methods for Forward Backward Stochastic Differential Equations.NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,10(2),222-242.
MLA Tang, Tao,et al."Deferred Correction Methods for Forward Backward Stochastic Differential Equations".NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS 10.2(2017):222-242.

入库方式： OAI收割

来源：数学与系统科学研究院

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