Year: 2020
Author: Yang Li, Jie Yang, Weidong Zhao
East Asian Journal on Applied Mathematics, Vol. 10 (2020), Iss. 2 : pp. 354–380
Abstract
A novel second-order numerical scheme for solving decoupled forward backward stochastic differential equations is proposed. Unlike known second-order schemes for such equations, the forward stochastic differential equations are approximated by a simplified weak order-2 Itô-Taylor scheme. This makes the method more implementable and enhances the accuracy. If the operators involved satisfy certain commutativity conditions, the scheme with quadratic convergence can be simplified, which is important in applications. The stability of the method is studied and second-order optimal error estimates are obtained.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.280519.180919
East Asian Journal on Applied Mathematics, Vol. 10 (2020), Iss. 2 : pp. 354–380
Published online: 2020-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 27
Keywords: FBSDEs simplified weak Itô-Taylor scheme second-order scheme error estimate.