Reviews
Zhao Weidong
In 1990, Pardoux and Peng obtained the existence and uniqueness result of the adapted solution for nonlinear backward stochastic differential equations. This result lays the foundation of the theory of forward backward stochastic differential equations. Since then, FBSDEs have been extensively studied, and have been found applications in many important fields, such as stochastic optimal control, partial differential equations, mathematical finance, risk measure, nonlinear mathematical expectation and so on. In this paper, we will review recent progresses for numerical methods for FBSDEs. We shall mainly introduce the integral and differential based numerical approximation methods, including both one-step and multi-step methods, and the corresponding numerical analysis and theoretical analysis will also be presented. It is worth to note that, by using the differential approximation method, one can propose strongly stable, highly accurate, and highly parallelized methods for solving fully coupled FBSDEs with the forward SDE solved by the Euler scheme. At the end of the paper, we briefly introduce some challenging problems on solving FBSDEs and some possible related applications.