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Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations | OUP Journals & Magazine | IEEE Xplore

Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

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Abstract:

Efficient numerical algorithms for a class of forward–backward stochastic differential equations (FBSDEs) and related quasi-linear parabolic partial differential equation...Show More

Abstract:

Efficient numerical algorithms for a class of forward–backward stochastic differential equations (FBSDEs) and related quasi-linear parabolic partial differential equations are proposed. The quasi-linear parabolic equation is solved by new layer methods which are constructed by means of a probabilistic approach. The proposed algorithms for solving FBSDEs are based on the four-step scheme of Ma, Protter and Yong. Convergence theorems are proved. Results of some numerical experiments are presented.
Published in: IMA Journal of Numerical Analysis ( Volume: 27, Issue: 1, January 2007)
Page(s): 24 - 44
Date of Publication: January 2007

ISSN Information:


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