Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4626152 | Applied Mathematics and Computation | 2015 | 12 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Benxue Gong, Hongxing Rui,