南方科技大学知识苑(SUSTech KC): A Class of Efficient Multistep Methods for Forward Backward Stochastic Differential Equations

题名	A Class of Efficient Multistep Methods for Forward Backward Stochastic Differential Equations
作者	Tang, Xiao 1,2; Xiong, Jie3,4
通讯作者	Tang, Xiao
发表日期	2024-06-01
DOI	10.4208/nmtma.OA-2024-0010
发表期刊	NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS 影响因子和分区
ISSN	1004-8979
EISSN	2079-7338
摘要	A class of efficient multistep methods for forward backward stochastic differential equations (FBSDEs) are proposed and studied in this paper. According to the characteristic of our multistep methods and replacing the corresponding Brownian motion increments with appropriate two-point distributed random variables, we obtain a very efficient algorithm to approximate the conditional expectations involved in the multistep methods. It is thanks to this efficient algorithm that we can obtain a class of efficient fully discrete form of high-order methods for the FBSDEs. Finally, some numerical results are presented to illustrate the efficiency of our multistep methods.
关键词	Forward backward stochastic differential equations multistep methods efficient high-order methods conditional expectations
相关链接	[来源记录]
收录类别	SCI
语种	英语
学校署名	其他
资助项目	Southern University of Science and Technology[Y01286120] ; National Science Foundation of China["12101525","61873325","11831010"]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:001314984800001
出版者	GLOBAL SCIENCE PRESS
来源库	Web of Science
引用统计
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/834229
专题	理学院_数学系南方科技大学
作者单位	1.Xiangtan Univ, Sch Math & Computat Sci, Xiangtan 411105, Hunan, Peoples R China 2.Xiangtan Univ, Hunan Key Lab Computat & Simulat Sci & Engn, Xiangtan 411105, Hunan, Peoples R China 3.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China 4.Southern Univ Sci & Technol, Shenzhen Int Ctr Math, Shenzhen 518055, Peoples R China
推荐引用方式 GB/T 7714	Tang, Xiao,Xiong, Jie. A Class of Efficient Multistep Methods for Forward Backward Stochastic Differential Equations[J]. NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,2024.
APA	Tang, Xiao,&Xiong, Jie.(2024).A Class of Efficient Multistep Methods for Forward Backward Stochastic Differential Equations.NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS.
MLA	Tang, Xiao,et al."A Class of Efficient Multistep Methods for Forward Backward Stochastic Differential Equations".NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS (2024).