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Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

Year:    2016

East Asian Journal on Applied Mathematics, Vol. 6 (2016), Iss. 3 : pp. 253–277

Abstract

By introducing a new Gaussian process and a new compensated Poisson random measure, we propose an explicit prediction-correction scheme for solving decoupled forward backward stochastic differential equations with jumps (FBSDEJs). For this scheme, we first theoretically obtain a general error estimate result, which implies that the scheme is stable. Then using this result, we rigorously prove that the accuracy of the explicit scheme can be of second order. Finally, we carry out some numerical experiments to verify our theoretical results.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/eajam.220116.070316a

East Asian Journal on Applied Mathematics, Vol. 6 (2016), Iss. 3 : pp. 253–277

Published online:    2016-01

AMS Subject Headings:   

Copyright:    COPYRIGHT: © Global Science Press

Pages:    25

Keywords:    Prediction-correction scheme decoupled forward backward stochastic differential equation with jumps convergence analysis.

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