Apr 29, 2021 · Our new proposed multi-step scheme allows for higher convergence rate up to ninth order, and are more efficient. Finally, we provide a numerical ...

Oct 2, 2020 · In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method.

In this work we study a multi-step scheme on time-space grids proposed by W. Zhao et al. [28] for solving backward stochastic differential equations, where ...

Apr 29, 2021 · Our new proposed multi-step scheme allows for higher convergence rate up to ninth order, and are more efficient. Finally, we provide a numerical ...

In this work, in order to obtain higher-order schemes for solving forward backward stochastic dif- ferential equations, we adopt the high-order multi-step ...

In this work, we are concerned with the high-order numerical methods for coupled forward-backward stochastic differential equations (FBSDEs).

Jan 28, 2022 · In this work we investigate the massively parallel GPU computing in the multistep scheme [27], to make the scheme be more useful in practice.

Oct 22, 2024 · In this work, we concern with the high order numerical methods for coupled forward-backward stochastic differential equations (FBSDEs).

For higher order of convergence rate, the first multistep scheme on time-space grids is proposed in [32], where the resulting integrands by discretizing BSDE ...

Oct 20, 2013 · Abstract:In this work, we concern with the high order numerical methods for coupled forward-backward stochastic differential equations ...