Volume 6, Issue 3
Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

Yu Fu ,  Jie Yang and Weidong Zhao


East Asian J. Appl. Math.,6 (2016), pp. 253-277.

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  • Abstract

By introducing a new Gaussian process and a new compensated Poisson random measure, we propose an explicit prediction-correction scheme for solving decoupled forward backward stochastic differential equations with jumps (FBSDEJs). For this scheme, we first theoretically obtain a general error estimate result, which implies that the scheme is stable. Then using this result, we rigorously prove that the accuracy of the explicit scheme can be of second order. Finally, we carry out some numerical experiments to verify our theoretical results.

  • History

Published online: 2018-02

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