摘要
This is one of our series works on numerical methods for mean-field forward backward stochastic differential equations(MFBSDEs).In this work,we propose an explicit multistep scheme for MFBSDEs which is easy to implement,and is of high order rate of convergence.Rigorous error estimates of the proposed multistep scheme are presented.Numerical experiments are carried out to show the efficiency and accuracy of the proposed scheme.
基金
supported by the national key basic research program(Nos.2018YFB0704304,2018YFA0703900)
Science Challenge Project(No.TZ2018001)
NSF of China(Nos.11831010,11871068,11822111,11688101,11801320,12071261,12001539)
Natural Science Foundation of Shandong Province(No.ZR2018BA005)
NSF of Hunan Province(No.2020JJ5647)
China Postdoctoral Science Foundation(No.2019TQ0073).
