Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps

doi:10.1007/s10915-016-0212-y

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 计算数学与科学工程计算研究所

	Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps
	Fu, Yu 1,2; Zhao, Weidong 1,2; Zhou, Tao3
刊名	JOURNAL OF SCIENTIFIC COMPUTING
	2016-11-01
卷号	69 期号:2 页码:651-672
关键词	Multistep scheme Jump-diffusion process Forward backward stochastic differential equation with jumps
ISSN号	0885-7474
DOI	10.1007/s10915-016-0212-y
英文摘要	In this work, we are concerned with multistep schemes for solving forward backward stochastic differential equations with jumps. The proposed multistep schemes admit many advantages. First of all, motivated by the local property of jump diffusion processes, the Euler method is used to solve the associated forward stochastic differential equation with jump, which reduce dramatically the entire computational complexity, however, the quantities of interests in the backward stochastic differential equations (with jump) are still of high order rate of convergence. Secondly, in each time step, only one jump is involved in the computational procedure, which again reduces dramatically the computational complexity. Finally, the method applies easily to partial-integral differential equations (and some nonlocal PDE models), by using the generalized Feynman-Kac formula. Several numerical experiments are presented to demonstrate the effectiveness of the proposed multistep schemes.
资助项目	National Natural Science Foundations of China[11571206] ; National Natural Science Foundations of China[91530118] ; National Natural Science Foundations of China[11571351]
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER/PLENUM PUBLISHERS
WOS记录号	WOS:000385151700009
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/23961]
专题	计算数学与科学工程计算研究所
通讯作者	Zhou, Tao
作者单位	1.Shandong Univ, Sch Math, Jinan 250100, Peoples R China 2.Shandong Univ, Inst Finance, Jinan 250100, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math, LSEC, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Fu, Yu,Zhao, Weidong,Zhou, Tao. Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps[J]. JOURNAL OF SCIENTIFIC COMPUTING,2016,69(2):651-672.
APA	Fu, Yu,Zhao, Weidong,&Zhou, Tao.(2016).Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps.JOURNAL OF SCIENTIFIC COMPUTING,69(2),651-672.
MLA	Fu, Yu,et al."Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps".JOURNAL OF SCIENTIFIC COMPUTING 69.2(2016):651-672.