AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

被引：3

作者：

Sun, Yabing ^{[1
,2
]}

Yang, Jie ^{[3
]}

Zhao, Weidong ^{[4
]}

Zhou, Tao ^{[5
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China

[2] Natl Univ Def Technol, Coll Sci, Changsha 410073, Peoples R China

[3] Shandong Univ, Sch Math & Stat, Weihai 264209, 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

来源：

JOURNAL OF COMPUTATIONAL MATHEMATICS | 2022年 / 40卷 / 04期

基金：

中国博士后科学基金;

关键词：

Mean-field forward backward stochastic differential equations; Explicit multistep scheme; Error estimates; DISCRETE-TIME APPROXIMATION; DISCRETIZATION;

D O I：

10.4208/jcm.2011-m2019-0205

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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.

引用

页码：519 / 543

页数：25

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