NUMERICAL SCHEMES FOR FULLY COUPLED MEAN-FIELD FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

YABING SUN; WEIDONG ZHAO

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NUMERICAL SCHEMES FOR FULLY COUPLED MEAN-FIELD FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

机译：NUMERICAL SCHEMES FOR FULLY COUPLED MEAN-FIELD FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

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摘要

In this paper, based on the nonlinear Feynman-Kac formula and Ito-Taylor schemes for solving mean-field forward stochastic differential equations, we propose numerical schemes for solving fully coupled mean-field forward backward stochastic differential equations. Our numerical experiments show that the schemes are stable, effective, and can be of second-order accuracy when weak second-order schemes are used for solving mean-field forward stochastic differential equations.

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来源
《Discrete and continuous dynamical systems, Series S》 |2023年第5期|999-1013|共15页
作者
YABING SUN; WEIDONG ZHAO;
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作者单位

College of Science, National University of Defense Technology, Changsha, Hunan, China;

School of Mathematics, Shandong University, Jinan, Shandong, China;

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正文语种英语
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Fully coupled mean-field forward backward stochastic differential equation; nonlinear Feynman-Kac formula; second order scheme; numerical experiment;

NUMERICAL SCHEMES FOR FULLY COUPLED MEAN-FIELD FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

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