One order numerical scheme for forward–backward stochastic differential equations

Benxue Gong and Hongxing Rui

Applied Mathematics and Computation, 2015, vol. 271, issue C, 220-231

Abstract: A one order numerical scheme based on the four step scheme developed by Ma et al. for the adapted solutions to a class of forward–backward stochastic differential equations is proposed and analyzed. For the decoupling quasilinear parabolic equations, a new kind of characteristics and finite difference method is used. While for the decoupled forward SDE, we use the Milstein scheme.

Keywords: Forward–backward stochastic differential equations; Quasilinear parabolic equations; Characteristic difference scheme; Bilinear interpolation; Convergence (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300315012084
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:271:y:2015:i:c:p:220-231

DOI: 10.1016/j.amc.2015.08.127

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().