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A Numerical Method and Its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

A Numerical Method and Its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
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Year:    2014

Communications in Computational Physics, Vol. 15 (2014), Iss. 3 : pp. 618–646

Abstract

In this paper, a new numerical method for solving the decoupled forward-backward stochastic differential equations (FBSDEs) is proposed based on some specially derived reference equations. We rigorously analyze errors of the proposed method under general situations. Then we present error estimates for each of the specific cases when some classical numerical schemes for solving the forward SDE are taken in the method; in particular, we prove that the proposed method is second-order accurate if used together with the order-2.0 weak Taylor scheme for the SDE. Some examples are also given to numerically demonstrate the accuracy of the proposed method and verify the theoretical results.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/cicp.280113.190813a

Communications in Computational Physics, Vol. 15 (2014), Iss. 3 : pp. 618–646

Published online:    2014-01

AMS Subject Headings:    Global Science Press

Copyright:    COPYRIGHT: © Global Science Press

Pages:    29

Keywords:   

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