TY - JOUR
T1 - Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
JO - East Asian Journal on Applied Mathematics
VL - 3
SP - 253
EP - 277
PY - 2018
DA - 2018/02
SN - 6
DO - http://doi.org/10.4208/eajam.220116.070316a
UR - https://global-sci.org/intro/article_detail/eajam/10796.html
KW - Prediction-correction scheme, decoupled forward backward stochastic differential equation with jumps, convergence analysis.
AB - <p style="text-align: justify;">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.</p>