One-Step Multi-Derivative Methods for Backward Stochastic Differential Equations

Authors

  • Chengjian Zhang School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China.
  • Jingwen Wu google
  • Weidong Zhao School of Mathematics, Shandong University, Jinan, Shandong 250100, China

DOI:

https://doi.org/10.4208/nmtma.OA-2018-0122

Keywords:

Backward stochastic differential equations, one-step multi-derivative methods, $\theta$-method, Itô-Taylor expansion, third-order accuracy.

Abstract

This paper deals with numerical solutions of backward stochastic differential equations (BSDEs). For solving BSDEs, a class of third-order one-step multi-derivative methods are derived. Several numerical examples are presented to illustrate the computational effectiveness and high-order accuracy of the methods. To show the advantage of the methods, a comparison with $\theta$-methods is also given.

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Published

2019-10-12

Issue

Vol. 12 No. 4 (2019)

Section

Articles