| Abstract: |
| This talk concerns with strong stability preserving (SSP) multistep schemes for forward backward stochastic differential equations (FBSDEs). We first perform a comprehensive analysis on a general type of multistep schemes for FBSDEs, then we present new sufficient conditions on the coefficients such that the associated schemes are stable and enjoy certain order of consistency. Upon these results, we propose a practical way to design high-order SSPM schemes for FBSDEs. Some numerical experiments are carried out to show the merits of our SSP multist schemes. |
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