Article ID Journal Published Year Pages File Type
4626152 Applied Mathematics and Computation 2015 12 Pages PDF
Abstract

A one order numerical scheme based on the four step scheme developed by Ma et al. for the adapted solutions to a class of forward–backward stochastic differential equations is proposed and analyzed. For the decoupling quasilinear parabolic equations, a new kind of characteristics and finite difference method is used. While for the decoupled forward SDE, we use the Milstein scheme.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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