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Volume 40, Issue 4
An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations

Yabing Sun, Jie Yang, Weidong Zhao & Tao Zhou

DOI: 10.4208/jcm.2011-m2019-0205

J. Comp. Math., 40 (2022), pp. 517-540.

Published online: 2022-04

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  • Abstract

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.

  • Keywords

Mean-field forward backward stochastic differential equations, Explicit multistep scheme, Error estimates.

  • AMS Subject Headings

60H35, 65C20, 60H10

  • Copyright

COPYRIGHT: © Global Science Press

  • Email address

sunybly@163.com (Yabing Sun)

jieyang@sdu.edu.cn (Jie Yang)

wdzhao@sdu.edu.cn (Weidong Zhao)

tzhou@lsec.cc.ac.cn (Tao Zhou)

  • BibTex
  • RIS
  • TXT
@Article{JCM-40-517, author = {Sun , YabingYang , JieZhao , Weidong and Zhou , Tao}, title = {An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations}, journal = {Journal of Computational Mathematics}, year = {2022}, volume = {40}, number = {4}, pages = {517--540}, abstract = {

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.

}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.2011-m2019-0205}, url = {http://global-sci.org/intro/article_detail/jcm/20499.html} }
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 -

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.

Sun , YabingYang , JieZhao , Weidong and Zhou , Tao. (2022). An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations. Journal of Computational Mathematics. 40 (4). 517-540. doi:10.4208/jcm.2011-m2019-0205
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