An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
Year: 2020
Author: Yabing Sun, Weidong Zhao
East Asian Journal on Applied Mathematics, Vol. 10 (2020), Iss. 3 : pp. 566–593
Abstract
The Feynman-Kac formula and the Lagrange interpolation method are used in the construction of an explicit second order scheme for decoupled anticipated forward backward stochastic differential equations. The stability of the scheme is rigorously proved and error estimates are established. The scheme has the second order accuracy when weak order 2.0 Taylor scheme is employed to solve stochastic differential equations. Numerical tests confirm the theoretical findings.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.271119.200220
East Asian Journal on Applied Mathematics, Vol. 10 (2020), Iss. 3 : pp. 566–593
Published online: 2020-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 28
Keywords: Anticipated forward backward stochastic differential equations explicit scheme error estimate second order convergence.