用于后向随机微分方程的新型多步预测器-校正器方案

IF 4.3 3区材料科学 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC

ACS Applied Electronic Materials Pub Date : 2024-08-17 DOI:10.1016/j.cnsns.2024.108269

Qiang Han , Shaolin Ji

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引用次数: 0

摘要

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。

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

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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来源期刊

ACS Applied Electronic Materials Multiple-

CiteScore

7.20

自引率

4.30%

发文量

567