12 citations · 17 across the 3 of their papers we have counts for
3 papers
math.NA2016
Efficient spectral sparse grid approximations for solving multi-dimensional forward backward SDEs
Yu Fu, Weidong Zhao, Tao Zhou
This is the second part in a series of papers on multi-step schemes for solving coupled forward backward stochastic differential equations (FBSDEs). We extend the basic idea in our…
math.NA2014★ 12 cited
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…
math.NA2013★ 5 cited
A New Kind of High-Order Multi-step Schemes for Forward Backward Stochastic Differential Equations
Weidong Zhao, Yu Fu, Tao Zhou
In this work, we concern with the high order numerical methods for coupled forward-backward stochastic differential equations (FBSDEs). Based on the FBSDEs theory, we derive two re…