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Error estimates of the $\theta$-scheme for backward stochastic differential equations
1. | School of Mathematics, Shandong University, Jinan, Shandong, China, China, China |
[1] |
Weidong Zhao, Yang Li, Guannan Zhang. A generalized $\theta$-scheme for solving backward stochastic differential equations. Discrete and Continuous Dynamical Systems - B, 2012, 17 (5) : 1585-1603. doi: 10.3934/dcdsb.2012.17.1585 |
[2] |
Yanqing Wang. A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations. Mathematical Control and Related Fields, 2016, 6 (3) : 489-515. doi: 10.3934/mcrf.2016013 |
[3] |
Jasmina Djordjević, Svetlana Janković. Reflected backward stochastic differential equations with perturbations. Discrete and Continuous Dynamical Systems, 2018, 38 (4) : 1833-1848. doi: 10.3934/dcds.2018075 |
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Jan A. Van Casteren. On backward stochastic differential equations in infinite dimensions. Discrete and Continuous Dynamical Systems - S, 2013, 6 (3) : 803-824. doi: 10.3934/dcdss.2013.6.803 |
[5] |
Joscha Diehl, Jianfeng Zhang. Backward stochastic differential equations with Young drift. Probability, Uncertainty and Quantitative Risk, 2017, 2 (0) : 5-. doi: 10.1186/s41546-017-0016-5 |
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Dariusz Borkowski. Forward and backward filtering based on backward stochastic differential equations. Inverse Problems and Imaging, 2016, 10 (2) : 305-325. doi: 10.3934/ipi.2016002 |
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Wolf-Jürgen Beyn, Raphael Kruse. Two-sided error estimates for the stochastic theta method. Discrete and Continuous Dynamical Systems - B, 2010, 14 (2) : 389-407. doi: 10.3934/dcdsb.2010.14.389 |
[8] |
Ying Hu, Shanjian Tang. Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations. Discrete and Continuous Dynamical Systems, 2015, 35 (11) : 5447-5465. doi: 10.3934/dcds.2015.35.5447 |
[9] |
Yulan Lu, Minghui Song, Mingzhu Liu. Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments. Discrete and Continuous Dynamical Systems - B, 2019, 24 (2) : 695-717. doi: 10.3934/dcdsb.2018203 |
[10] |
Xin Chen, Ana Bela Cruzeiro. Stochastic geodesics and forward-backward stochastic differential equations on Lie groups. Conference Publications, 2013, 2013 (special) : 115-121. doi: 10.3934/proc.2013.2013.115 |
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Qi Zhang, Huaizhong Zhao. Backward doubly stochastic differential equations with polynomial growth coefficients. Discrete and Continuous Dynamical Systems, 2015, 35 (11) : 5285-5315. doi: 10.3934/dcds.2015.35.5285 |
[12] |
Yufeng Shi, Qingfeng Zhu. A Kneser-type theorem for backward doubly stochastic differential equations. Discrete and Continuous Dynamical Systems - B, 2010, 14 (4) : 1565-1579. doi: 10.3934/dcdsb.2010.14.1565 |
[13] |
Yueyang Zheng, Jingtao Shi. A stackelberg game of backward stochastic differential equations with partial information. Mathematical Control and Related Fields, 2021, 11 (4) : 797-828. doi: 10.3934/mcrf.2020047 |
[14] |
Bahareh Akhtari, Esmail Babolian, Andreas Neuenkirch. An Euler scheme for stochastic delay differential equations on unbounded domains: Pathwise convergence. Discrete and Continuous Dynamical Systems - B, 2015, 20 (1) : 23-38. doi: 10.3934/dcdsb.2015.20.23 |
[15] |
Ishak Alia. Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach. Mathematical Control and Related Fields, 2020, 10 (4) : 785-826. doi: 10.3934/mcrf.2020020 |
[16] |
Ying Liu, Yabing Sun, Weidong Zhao. Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations. Discrete and Continuous Dynamical Systems - S, 2022, 15 (4) : 773-795. doi: 10.3934/dcdss.2021044 |
[17] |
Chuchu Chen, Jialin Hong. Mean-square convergence of numerical approximations for a class of backward stochastic differential equations. Discrete and Continuous Dynamical Systems - B, 2013, 18 (8) : 2051-2067. doi: 10.3934/dcdsb.2013.18.2051 |
[18] |
Feng Bao, Yanzhao Cao, Weidong Zhao. A first order semi-discrete algorithm for backward doubly stochastic differential equations. Discrete and Continuous Dynamical Systems - B, 2015, 20 (5) : 1297-1313. doi: 10.3934/dcdsb.2015.20.1297 |
[19] |
Shaokuan Chen, Shanjian Tang. Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. Mathematical Control and Related Fields, 2015, 5 (3) : 401-434. doi: 10.3934/mcrf.2015.5.401 |
[20] |
Juan Li, Wenqiang Li. Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs. Mathematical Control and Related Fields, 2015, 5 (3) : 501-516. doi: 10.3934/mcrf.2015.5.501 |
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