Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations
Year: 2017
East Asian Journal on Applied Mathematics, Vol. 7 (2017), Iss. 3 : pp. 548–565
Abstract
In error estimates of various numerical approaches for solving decoupled forward backward stochastic differential equations (FBSDEs), the rate of convergence for one variable is usually less than for the other. Under slightly strengthened smoothness assumptions, we show that the fully discrete Euler scheme admits a first-order rate of convergence for both variables.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.110417.070517a
East Asian Journal on Applied Mathematics, Vol. 7 (2017), Iss. 3 : pp. 548–565
Published online: 2017-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: Forward backward stochastic differential equations fully discrete scheme error estimate.
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Numerical methods for backward stochastic differential equations: A survey
Chessari, Jared
Kawai, Reiichiro
Shinozaki, Yuji
Yamada, Toshihiro
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https://doi.org/10.1214/23-PS18 [Citations: 8]