Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations

doi:10.1007/s10915-018-00896-w

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 计算数学与科学工程计算研究所

	Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations
	Yang, Jie 3; Zhao, Weidong 2,4; Zhou, Tao1
刊名	JOURNAL OF SCIENTIFIC COMPUTING
	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
出版者	SPRINGER/PLENUM PUBLISHERS
WOS记录号	WOS:000466934400003
内容类型	期刊论文
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.