Novel multi-step predictor-corrector schemes for backward stochastic differential equations

11 Feb 2021 Qiang Han Shaolin Ji

Novel multi-step predictor-corrector numerical schemes have been derived for approximating decoupled forward-backward stochastic differential equations (FBSDEs). The stability and high order rate of convergence of the schemes are rigorously proved... (read more)

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  • NUMERICAL ANALYSIS
  • NUMERICAL ANALYSIS