@Article{AAMM-12-643, author = {Liu , YingSun , Yabing and Zhao , Weidong}, title = {A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations}, journal = {Advances in Applied Mathematics and Mechanics}, year = {2020}, volume = {12}, number = {3}, pages = {643--663}, abstract = {

In this work, we are concerned with the explicit multistep scheme for solving the coupled forward backward stochastic differential equations (FBSDEs). Based on the Lagrange interpolation and first-order derivative approximations, we will propose a fully discrete explicit high-order multistep scheme for solving coupled FBSDEs. Its high accuracy, efficiency and stability are verified by the numerical experiments.

}, issn = {2075-1354}, doi = {https://doi.org/10.4208/aamm.OA-2019-0079}, url = {http://global-sci.org/intro/article_detail/aamm/16418.html} }