An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations

An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations

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.