12 citations · 12 across the 4 of their papers we have counts for
4 papers
Explicit Runge-Kutta schemes for Backward Stochastic Differential Equations
Shuixin Fang, Yue Qiu, Weidong Zhao
The Butcher theory provides a powerful tool for analyzing order conditions of Runge-Kutta schemes for ordinary differential equations (ODEs); however, such a theory has not yet bee…
High-order combined Multi-step Scheme for solving forward Backward Stochastic Differential Equations
Long Teng, Weidong Zhao
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu a…
Numerical methods for mean-field stochastic differential equations with jumps
Yabing Sun, Weidong Zhao
In this paper, we are devoted to the numerical methods for mean-field stochastic differential equations with jumps (MSDEJs). First by using the mean-field Itô formula [Sun, Yang an…
Second-order numerical schemes for decoupled forward-backward stochastic differential equations with jumps
Weidong Zhao, Wei Zhang, Guannan Zhang
We propose new numerical schemes for decoupled forward-backward stochastic differential equations (FBSDEs) with jumps, where the stochastic dynamics are driven by a -dimensional…