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An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
Published online by Cambridge University Press: 16 July 2018
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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- Copyright © Global-Science Press 2014
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