New Second-Order Schemes for Forward Backward Stochastic Differential Equations

作者：Sun, Yabing; Zhao, Weidong^*

来源：East Asian Journal on Applied Mathematics, 2018, 8(3): 399-421.

DOI：10.4208/eajam.100118.070318

• Forward backward stochastic differential equations
• Feynman-Kac formula
• difference approximation
• second-order scheme

The Feynman-Kac formulas are used to develop new second-order numerical schemes for the forward-backward stochastic differential equations (FBSDEs) of the first and second order. The methods are simple and allow an easy implementation. Numerous numerical tests for FBSDEs, fully nonlinear second-order parabolic partial differential equations and the Hamilton-Jacobi-Bellman equations show the stability and a high accuracy of the methods.

• 出版日期2018-8
• 单位山东大学