Year: 2025
Author: Yabing Sun, Weidong Zhao
Journal of Computational Mathematics, Vol. 43 (2025), Iss. 1 : pp. 229–256
Abstract
In this paper, we consider the numerical solution of decoupled mean-field forward backward stochastic differential equations with jumps (MFBSDEJs). By using finite difference approximations and the Gaussian quadrature rule, and the weak order 2.0 Itô-Taylor scheme to solve the forward mean-field SDEs with jumps, we propose a new second order scheme for MFBSDEJs. The proposed scheme allows an easy implementation. Some numerical experiments are carried out to demonstrate the stability, the effectiveness and the second order accuracy of the scheme.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.2310-m2023-0089
Journal of Computational Mathematics, Vol. 43 (2025), Iss. 1 : pp. 229–256
Published online: 2025-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 28
Keywords: Mean-field forward backward stochastic differential equation with jumps Finite difference approximation Gaussian quadrature rule Second order.