Year: 2024
Author: Yabing Sun, Jie Yang, Weidong Zhao
Numerical Mathematics: Theory, Methods and Applications, Vol. 17 (2024), Iss. 1 : pp. 243–274
Abstract
In this work, we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps. The stability and the rigorous error estimates are presented, which show that the proposed scheme yields a second order rate of convergence, when the forward mean-field stochastic differential equation is solved by the weak order 2.0 Itô-Taylor scheme. Numerical experiments are carried out to verify the theoretical results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/nmtma.OA-2023-0048
Numerical Mathematics: Theory, Methods and Applications, Vol. 17 (2024), Iss. 1 : pp. 243–274
Published online: 2024-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 32
Keywords: Mean-field forward backward stochastic differential equation with jumps stability analysis error estimates.
Author Details
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https://doi.org/10.1007/s10957-024-02508-0 [Citations: 0]