TY - JOUR
T1 - Deferred Correction Methods for Forward Backward Stochastic Differential Equations
AU - Tao Tang, Weidong Zhao & Tao Zhou
JO - Numerical Mathematics: Theory, Methods and Applications
VL - 2
SP - 222
EP - 242
PY - 2017
DA - 2017/10
SN - 10
DO - http://doi.org/10.4208/nmtma.2017.s02
UR - https://global-sci.org/intro/article_detail/nmtma/12344.html
KW - 
AB - <p style="text-align: justify;">The deferred correction (DC) method is a classical method for
solving ordinary differential equations; one of its key features is to
iteratively use lower order numerical methods so that high-order
numerical scheme can be obtained. The main advantage of the DC approach is its simplicity and robustness.
In this paper, the DC idea will be adopted to solve forward backward stochastic differential equations (FBSDEs)
which have practical importance in many applications.
Noted that it is difficult to design high-order and relatively &quot;clean&quot; numerical schemes for FBSDEs
due to the involvement of randomness and the coupling of the FSDEs and BSDEs.
This paper will describe how to use the simplest Euler method in each DC step–leading to simple computational
complexity–to achievehigh order rate of convergence.</p>