Efficient Runge-Kutta methods for backward stochastic differential equations

来源 :第十六届全国微分方程数值方法暨第十三届全国仿真算法学术会议 | 被引量 : 0次 | 上传用户：aibang027123456

【摘要】

：

　　In this talk,we introduce a new class of Runge-Kutta(RK)methods for backward stochastic differential equations(BSDEs).The convergence rate is studied and th

【作者】

：

Xiao Tang Jie Xiong

【机构】

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DepartmentofMathematics,SouthernUniversityofScienceandTechnology,Shenzhen,518055

【出处】

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第十六届全国微分方程数值方法暨第十三届全国仿真算法学术会议

【发表日期】

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2019年8期

【关键词】

：

backward stochastic differential equations Runge-Kutta methods order condition c

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　　In this talk,we introduce a new class of Runge-Kutta(RK)methods for backward stochastic differential equations(BSDEs).The convergence rate is studied and the corresponding order conditions are obtained.

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Efficient Runge-Kutta methods for backward stochastic differential equations

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