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EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

文献类型：期刊论文

作者Sun, Yabing1; Zhao, Weidong1; Zhou, Tao2
刊名SIAM JOURNAL ON NUMERICAL ANALYSIS
出版日期2018
卷号56期号:4页码:2672-2697
关键词mean-field backward stochastic differential equation theta-schemes error estimates
ISSN号0036-1429
DOI10.1137/17M1161944
英文摘要In this work, we propose a class of explicit theta-schemes for solving mean-field backward stochastic differential equations. We first prove a rigorous stability result, based on which sharp error estimates are presented, showing that the proposed theta-schemes yield a second order rate of convergence. Several numerical experiments are carried out to verify the theoretical results. It seems that this is the first attempt to design high order numerical schemes for mean-field backward stochastic differential equations.
资助项目National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[91630203] ; National Natural Science Foundation of China[11571351] ; National Natural Science Foundation of China[11171189] ; National Natural Science Foundation of China[11571206] ; Science Challenge Project, NCMIS[TZ2016001] ; Youth Innovation Promotion Association (CAS)
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000443291900027
出版者SIAM PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/31140]  
专题计算数学与科学工程计算研究所
通讯作者Sun, Yabing
作者单位1.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math, LSEC,NCMIS, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Sun, Yabing,Zhao, Weidong,Zhou, Tao. EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2018,56(4):2672-2697.
APA Sun, Yabing,Zhao, Weidong,&Zhou, Tao.(2018).EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS.SIAM JOURNAL ON NUMERICAL ANALYSIS,56(4),2672-2697.
MLA Sun, Yabing,et al."EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS".SIAM JOURNAL ON NUMERICAL ANALYSIS 56.4(2018):2672-2697.

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来源：数学与系统科学研究院

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