2 papers
math.NA2020
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…
math.NA2020
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…