@Article{EAJAM-10-3,
author = {Yabing, Sun and Zhao, Weidong},
title = {An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations},
journal = {East Asian Journal on Applied Mathematics},
year = {2020},
volume = {10},
number = {3},
pages = {566--593},
abstract = {<p style="text-align: justify;">The Feynman-Kac formula and the Lagrange interpolation method are used in
the construction of an explicit second order scheme for decoupled anticipated forward
backward stochastic differential equations. The stability of the scheme is rigorously
proved and error estimates are established. The scheme has the second order accuracy
when weak order 2.0 Taylor scheme is employed to solve stochastic differential equations. Numerical tests confirm the theoretical findings.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.271119.200220},
url = {https://global-sci.com/article/82571/an-explicit-second-order-scheme-for-decoupled-anticipated-forward-backward-stochastic-differential-equations}
}