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An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
Numerical Algorithms ( IF 1.7 ) Pub Date : 2019-06-25 , DOI: 10.1007/s11075-019-00754-2
Yabing Sun , Weidong Zhao

In this paper, we propose an explicit second-order scheme for solving decoupled mean-field forward backward stochastic differential equations. Its stability is theoretically proved, and its error estimates are rigorously deduced, which show that the proposed scheme is of second-order accurate when the weak-order 2.0 Itô-Taylor scheme is used to solve mean-field stochastic differential equations. Some numerical experiments are presented to verify the theoretical results.



中文翻译:

均值场正向后向随机微分方程的显式二阶数值格式

在本文中,我们提出了一个明确的二阶格式,用于解耦的平均场正向后向随机微分方程。理论上证明了其稳定性,并严格推导了其误差估计值,这表明当使用弱阶2.0Itô-Taylor方案求解平均场随机微分方程时,该方案具有二阶精度。进行了一些数值实验以验证理论结果。

更新日期:2020-04-22
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