TY - JOUR
T1 - A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
AU - Liu , Ying
AU - Sun , Yabing
AU - Zhao , Weidong
JO - Advances in Applied Mathematics and Mechanics
VL - 3
SP - 643
EP - 663
PY - 2020
DA - 2020/04
SN - 12
DO - http://doi.org/10.4208/aamm.OA-2019-0079
UR - https://global-sci.org/intro/article_detail/aamm/16418.html
KW - Lagrange interpolation, derivative approximation, coupled forward backward stochastic differential equations, explicit multistep scheme.
AB - <p style="text-align: justify;">In this work, we are concerned with the explicit multistep scheme for solving the coupled forward backward stochastic differential equations (FBSDEs). Based on the Lagrange interpolation and first-order derivative approximations, we will propose a fully discrete explicit high-order multistep scheme for solving coupled FBSDEs. Its high accuracy, efficiency and stability are verified by the numerical experiments.</p>