AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

作     者：Yabing Sun Jie Yang Weidong Zhao Tao Zhou Yabing Sun;Jie Yang;Weidong Zhao;Tao Zhou

作者机构：School of MathematicsShandong UniversityJinan 250100ChinaCollege of ScienceNational University of Defense TechnologyChangsha 410073China School of Mathematics and StatisticsShandong UniversityWeihai 264209China School of Mathematics and Finance InstituteShandong UniversityJinan 250100China LSECInstitute of Computational MathematicsAcademy of Mathematics and Systems ScienceChinese Academy of SciencesBeijing 100190China 

出 版 物：《Journal of Computational Mathematics》 (计算数学（英文）)

年 卷 期：2022年第40卷第4期

页      面：517-540页

核心收录：

学科分类：07[理学] 070102[理学-计算数学] 0701[理学-数学] 

基　　金：supported by the national key basic research program(Nos.2018YFB0704304,2018YFA0703900) Science Challenge Project(No.TZ2018001) NSF of China(Nos.11831010,11871068,11822111,11688101,11801320,12071261,12001539) Natural Science Foundation of Shandong Province(No.ZR2018BA005) NSF of Hunan Province(No.2020JJ5647) China Postdoctoral Science Foundation(No.2019TQ0073). 

主　　题：Mean-field forward backward stochastic differential equations Explicit multistep scheme Error estimates 

摘      要：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.