TY - JOUR
T1 - An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
AU - Yu Fu & Weidong Zhao
JO - East Asian Journal on Applied Mathematics
VL - 4
SP - 368
EP - 385
PY - 2018
DA - 2018/02
SN - 4
DO - http://doi.org/10.4208/eajam.030614.171014a
UR - https://global-sci.org/intro/article_detail/eajam/10844.html
KW - Explicit scheme, second-order, decoupled FBSDE, error estimate.
AB - <p style="text-align: justify;">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.</p>