Numerical methods for forward-backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Numerical Algorithms for Forward-Backward Stochastic Differential Equations
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...
متن کاملOn Numerical Approximations of Forward-Backward Stochastic Differential Equations
A numerical method for a class of forward-backward stochastic differential equations (FBSDEs) is proposed and analyzed. The method is designed around the Four Step Scheme (Douglas-Ma-Protter, 1996) but with a Hermite-spectral method to approximate the solution to the decoupled quasilinear PDE on the whole space. A rigorous synthetic error analysis is carried out for a fully discretized scheme, ...
متن کاملNumerical Method for Backward Stochastic Differential Equations
We propose a method for numerical approximation of Backward Stochastic Differential Equations. Our method allows the final condition of the equation to be quite general and simple to implement. It relies on an approximation of Brownian Motion by simple random walk.
متن کاملMean 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.
متن کاملNumerical Solutions for Forward Backward Doubly Stochastic Differential Equations and Zakai Equations
NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS Feng Bao, Yanzhao Cao, & Weidong Zhao Department of Mathematics and Statistics, Auburn University, Auburn, AL 36849 School of Mathematics, Sun Yat Sun University, China School of Mathematics, Shangdong University, Jinan, China Original Manuscript Submitted: 05/22/2011; Final Draft Received: 08/...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 1996
ISSN: 1050-5164
DOI: 10.1214/aoap/1034968235