AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
文献类型：期刊论文
| 作者 | Sun, Yabing2,3; Yang, Jie1; Zhao, Weidong4; Zhou, Tao5 |
| 刊名 | JOURNAL OF COMPUTATIONAL MATHEMATICS
 |
| 出版日期 | 2021-03-12 |
| 页码 | 25 |
| 关键词 | Mean-field forward backward stochastic differential equations Explicit multistep scheme Error estimates |
| ISSN号 | 0254-9409 |
| DOI | 10.4208/jcm.2011-m2019-0205 |
| 英文摘要 | This is one of our series works on numerical methods for mean-field forward backward stochastic differential equations (MFBSDEs). In this work, we propose an explicit multistep scheme for MFBSDEs which is easy to implement, and is of high order rate of convergence. Rigorous error estimates of the proposed multistep scheme are presented. Numerical experiments are carried out to show the efficiency and accuracy of the proposed scheme. |
| 资助项目 | national key basic research program[2018YFB0704304] ; national key basic research program[2018YFA0703903] ; Science Challenge Project[TZ2018001] ; NSF of China[11831010] ; NSF of China[11871068] ; NSF of China[11822111] ; NSF of China[11688101] ; NSF of China[11801320] ; NSF of China[12071261] ; NSF of China[12001539] ; Natural Science Foundation of Shandong Province[ZR2018BA005] ; NSF of Hunan Province[2020JJ5647] ; China Postdoctoral Science Foundation[2019TQ0073] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000716945500001 |
| 出版者 | GLOBAL SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59542]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhao, Weidong |
| 作者单位 | 1.Shandong Univ, Sch Math & Stat, Weihai 264209, Peoples R China 2.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China 3.Natl Univ Def Technol, Coll Sci, Changsha 410073, Peoples R China 4.Shandong Univ, Sch Math & Finance Inst, Jinan 250100, Peoples R China 5.Chinese Acad Sci, LSEC, Inst Computat Math, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sun, Yabing,Yang, Jie,Zhao, Weidong,et al. AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS[J]. JOURNAL OF COMPUTATIONAL MATHEMATICS,2021:25. |
| APA | Sun, Yabing,Yang, Jie,Zhao, Weidong,&Zhou, Tao.(2021).AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS.JOURNAL OF COMPUTATIONAL MATHEMATICS,25. |
| MLA | Sun, Yabing,et al."AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS".JOURNAL OF COMPUTATIONAL MATHEMATICS (2021):25. |
入库方式： OAI收割
来源：数学与系统科学研究院
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