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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