A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations

Authors

  • Ying Liu School of Mathematics, Shandong University, Jinan 250100, Shandong, China
  • Yabing Sun School of Mathematics, Shandong University, Jinan 250100, Shandong, China
  • Weidong Zhao School of Mathematics, Shandong University, Jinan, Shandong 250100, China

DOI:

https://doi.org/10.4208/aamm.OA-2019-0079

Keywords:

Lagrange interpolation, derivative approximation, coupled forward backward stochastic differential equations, explicit multistep scheme.

Abstract

In this work, we are concerned with the explicit multistep scheme for solving the coupled forward backward stochastic differential equations (FBSDEs). Based on the Lagrange interpolation and first-order derivative approximations, we will propose a fully discrete explicit high-order multistep scheme for solving coupled FBSDEs. Its high accuracy, efficiency and stability are verified by the numerical experiments.

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Published

2020-04-10

Issue

Vol. 12 No. 3 (2020)

Section

Articles