TY - JOUR
T1 - Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
AU - Zhou , Quan
AU - Sun , Yabing
JO - Advances in Applied Mathematics and Mechanics
VL - 6
SP - 1293
EP - 1317
PY - 2021
DA - 2021/08
SN - 13
DO - http://doi.org/10.4208/aamm.OA-2020-0133
UR - https://global-sci.org/intro/article_detail/aamm/19424.html
KW - Decoupled forward backward stochastic differential equations, Itô-Taylor expansion, finite difference approximation, explicit one-step method, high order convergence.
AB - <p style="text-align: justify;">By using the Feynman-Kac formula and combining with Itô-Taylor expansion and finite difference approximation, we first develop an explicit third order one-step method for solving decoupled forward backward stochastic differential equations. Then based on the third order one, an explicit fourth order method is further proposed. Several numerical tests are also presented to illustrate the stability and high order accuracy of the proposed methods.</p>