Novel multi-step predictor-corrector schemes for backward stochastic differential equations
Numerical Analysis
2021-02-12 v1 Numerical Analysis
Abstract
Novel multi-step predictor-corrector numerical schemes have been derived for approximating decoupled forward-backward stochastic differential equations (FBSDEs). The stability and high order rate of convergence of the schemes are rigorously proved. We also present a sufficient and necessary condition for the stability of the schemes. Numerical experiments are given to illustrate the stability and convergence rates of the proposed methods.
Keywords
Cite
@article{arxiv.2102.05915,
title = {Novel multi-step predictor-corrector schemes for backward stochastic differential equations},
author = {Qiang Han and Shaolin Ji},
journal= {arXiv preprint arXiv:2102.05915},
year = {2021}
}