Year: 2014
East Asian Journal on Applied Mathematics, Vol. 4 (2014), Iss. 4 : pp. 368–385
Abstract
An explicit numerical scheme is proposed for solving decoupled forward backward stochastic differential equations (FBSDE) represented in integral equation form. A general error inequality is derived for this numerical scheme, which also implies its stability. Error estimates are given based on this inequality, showing that the explicit scheme can be second-order. Some numerical experiments are carried out to illustrate the high accuracy of the proposed scheme.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.030614.171014a
East Asian Journal on Applied Mathematics, Vol. 4 (2014), Iss. 4 : pp. 368–385
Published online: 2014-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: Explicit scheme second-order decoupled FBSDE error estimate.