TY - JOUR
T1 - An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations
AU - Sun , Yabing
AU - Yang , Jie
AU - Zhao , Weidong
AU - Zhou , Tao
JO - Journal of Computational Mathematics
VL - 4
SP - 517
EP - 540
PY - 2022
DA - 2022/04
SN - 40
DO - http://doi.org/10.4208/jcm.2011-m2019-0205
UR - https://global-sci.org/intro/article_detail/jcm/20499.html
KW - Mean-field forward backward stochastic differential equations, Explicit multistep scheme, Error estimates.
AB - <p style="text-align: justify;">This is one of our series works on numerical methods for mean-field forward backward stochastic differential equations (MFBSDEs). In this work, we propose an explicit multistep scheme for MFBSDEs which is easy to implement, and is of high order rate of convergence. Rigorous error estimates of the proposed multistep scheme are presented. Numerical experiments are carried out to show the efficiency and accuracy of the proposed scheme.</p>