Solving forward-backward stochastic differential equations explicitly ? a four step scheme
نویسندگان
چکیده
منابع مشابه
Solving forward-backward stochastic differential equations explicitly a four step scheme
In this paper we investigate the nature of the adapted ;solutions to a class of forward-backward stochastic differential equations (SDEs for short) in which the forward equation is non-degenerate. We prove that in this case the adapted solution can always be sought in an "ordinary" sense over an arbitrarily prescribed time duration, via a direct "Four Step Scheme". Using this scheme, we further...
متن کاملSolving Forward-backward Stochastic Diierential Equations Explicitly | a Four Step Scheme
In this paper we investigate the nature of the adapted solutions to a class of forward-backward stochastic diierential equations (SDEs for short) in which the forward equation is non-degenerate. We prove that in this case the adapted solution can always be sought in an \ordinary" sense over an arbitrarily prescribed time duration, via a direct \Four Step Scheme". Using this scheme, we further p...
متن کاملAMultistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations
Abstract. Upon a set of backward orthogonal polynomials, we propose a novel multi-step numerical scheme for solving the decoupled forward-backward stochastic differential equations (FBSDEs). Under Lipschtiz conditions on the coefficients of the FBSDEs, we first get a general error estimate result which implies zero-stability of the proposed scheme, and then we further prove that the convergence...
متن کاملA New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps
In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator ( ) ( ) ( ) t t t t f r t x y h t z g t , , = + + Γ linearly depending on t z . And we theoretically prove that the convergence rates of them are of second order for solving t y and of first order for solving t z and t Γ in p L norm.
متن کاملMean Field Forward-Backward Stochastic Differential Equations
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 1994
ISSN: 0178-8051,1432-2064
DOI: 10.1007/bf01192258