Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations
文献类型：期刊论文
| 作者 | Yang, Jie3; Zhao, Weidong2,4; Zhou, Tao1
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| 刊名 | JOURNAL OF SCIENTIFIC COMPUTING
 |
| 出版日期 | 2019-06-01 |
| 卷号 | 79期号:3页码:1409-1432 |
| 关键词 | Deferred correction method Second-order forward backward stochastic differential equations Euler scheme High-order rate of convergence |
| ISSN号 | 0885-7474 |
| DOI | 10.1007/s10915-018-00896-w |
| 英文摘要 | This is the second part of our series papers on the deferred correction method for forward backward stochastic differential equations. In this work, we extend our previous work in Tang et al. (Numer Math Theory Methods Appl 10(2):222-242, 2017) to solve second-order forward backward stochastic differential equations (2FBSDEs). More precisely, we propose a class of explicit deferred correction schemes for 2FBSDEs. The key feature is that the simple Euler scheme is used as an initialization. Then, by a simple deferred correction iteration scheme, one can obtain an approximated solution with very high accuracy. Yet in each iteration, the computational complexity is always comparable to the Euler solver. Numerical examples are presented to show the effectiveness of the proposed scheme. We believe that the scheme proposed in this work is promising when dealing with 2FBSDEs in moderate dimensions. |
| 资助项目 | science challenge Project[TZ2018001] ; NSF of China[11822111] ; NSF of China[11688101] ; NSF of China[91630203] ; NSF of China[11571351] ; NSF of China[11731006] ; NSF of China[11571206] ; NSF of China[11801320] ; national key basic research program[2018YFB0704304] ; NCMIS ; youth innovation promotion association (CAS) ; NSF of Shandong Province[ZR2018BA005] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000466934400003 |
| 出版者 | SPRINGER/PLENUM PUBLISHERS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/34838]  |
| 专题 | 计算数学与科学工程计算研究所 |
| 通讯作者 | Zhao, Weidong |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math, LSEC, Beijing 100190, Peoples R China 2.Shandong Univ, Inst Finance, Jinan 250100, Shandong, Peoples R China 3.Shandong Univ, Sch Math & Stat, Weihai 264209, Shandong, Peoples R China 4.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yang, Jie,Zhao, Weidong,Zhou, Tao. Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations[J]. JOURNAL OF SCIENTIFIC COMPUTING,2019,79(3):1409-1432. |
| APA | Yang, Jie,Zhao, Weidong,&Zhou, Tao.(2019).Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations.JOURNAL OF SCIENTIFIC COMPUTING,79(3),1409-1432. |
| MLA | Yang, Jie,et al."Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations".JOURNAL OF SCIENTIFIC COMPUTING 79.3(2019):1409-1432. |
入库方式： OAI收割
来源：数学与系统科学研究院
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