@Article{NMTMA-17-1, author = {Yabing, Sun and Yang, Jie and Zhao, Weidong}, title = {An Accurate Numerical Scheme for Mean-Field Forward and Backward SDEs with Jumps}, journal = {Numerical Mathematics: Theory, Methods and Applications}, year = {2024}, volume = {17}, number = {1}, pages = {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.
}, issn = {2079-7338}, doi = {https://doi.org/10.4208/nmtma.OA-2023-0048}, url = {https://global-sci.com/article/91259/an-accurate-numerical-scheme-for-mean-field-forward-and-backward-sdes-with-jumps} }