Novel multi-step predictor–corrector schemes for backward stochastic differential equations

IF 3.4 2区数学 Q1 MATHEMATICS, APPLIED

Communications in Nonlinear Science and Numerical Simulation Pub Date : 2024-08-17 DOI:10.1016/j.cnsns.2024.108269

引用次数: 0

Abstract

Novel multi-step predictor–corrector numerical schemes have been derived for approximating decoupled forward–backward stochastic differential equations. The stability and high order rate of convergence of the proposed schemes are rigorously proved. We also present a sufficient and necessary condition for the stability of the schemes. Numerical experiments are given to illustrate the stability and convergence rates of the proposed methods.

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用于后向随机微分方程的新型多步预测器-校正器方案

为近似解耦前向-后向随机微分方程推导了新的多步预测器-校正器数值方案。我们严格证明了所提方案的稳定性和高阶收敛率。我们还提出了方案稳定性的充分必要条件。我们还给出了数值实验来说明所提方法的稳定性和收敛率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Communications in Nonlinear Science and Numerical Simulation MATHEMATICS, APPLIED-MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

CiteScore

6.80

自引率

7.70%

发文量

378

审稿时长

78 days

期刊介绍： The journal publishes original research findings on experimental observation, mathematical modeling, theoretical analysis and numerical simulation, for more accurate description, better prediction or novel application, of nonlinear phenomena in science and engineering. It offers a venue for researchers to make rapid exchange of ideas and techniques in nonlinear science and complexity. The submission of manuscripts with cross-disciplinary approaches in nonlinear science and complexity is particularly encouraged. Topics of interest: Nonlinear differential or delay equations, Lie group analysis and asymptotic methods, Discontinuous systems, Fractals, Fractional calculus and dynamics, Nonlinear effects in quantum mechanics, Nonlinear stochastic processes, Experimental nonlinear science, Time-series and signal analysis, Computational methods and simulations in nonlinear science and engineering, Control of dynamical systems, Synchronization, Lyapunov analysis, High-dimensional chaos and turbulence, Chaos in Hamiltonian systems, Integrable systems and solitons, Collective behavior in many-body systems, Biological physics and networks, Nonlinear mechanical systems, Complex systems and complexity. No length limitation for contributions is set, but only concisely written manuscripts are published. Brief papers are published on the basis of Rapid Communications. Discussions of previously published papers are welcome.