Backward-Forward Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Mean Field Forward-Backward Stochastic Differential Equations
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.
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Efficient numerical algorithms are proposed for a class of forward-backward stochastic differential equations (FBSDEs) connected with semilinear parabolic partial differential equations. As in [J. Douglas, Jr., J. Ma, and P. Protter, Ann. Appl. Probab., 6 (1996), pp. 940–968], the algorithms are based on the known four-step scheme for solving FBSDEs. The corresponding semilinear parabolic equat...
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Abstract. Upon a set of backward orthogonal polynomials, we propose a novel multi-step numerical scheme for solving the decoupled forward-backward stochastic differential equations (FBSDEs). Under Lipschtiz conditions on the coefficients of the FBSDEs, we first get a general error estimate result which implies zero-stability of the proposed scheme, and then we further prove that the convergence...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 1993
ISSN: 1050-5164
DOI: 10.1214/aoap/1177005363