An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations

Authors

  • Yabing Sun School of Mathematics, Shandong University, Jinan 250100, Shandong, China
  • Jie Yang School of Mathematics and Statistics, Shandong University, Weihai, Shandong 264209, China
  • Weidong Zhao School of Mathematics, Shandong University, Jinan, Shandong 250100, China
  • Tao Zhou CMIS & LSEC, Institute of Computational Mathematics and Scientific/ Engineering Computing, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

DOI:

https://doi.org/10.4208/jcm.2011-m2019-0205

Keywords:

Mean-field forward backward stochastic differential equations, Explicit multistep scheme, Error estimates.

Abstract

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.

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Published

2022-10-06

Issue

Vol. 40 No. 4 (2022)

Section

Articles