TY - JOUR
T1 - An Accurate Numerical Scheme for Mean-Field Forward and Backward SDEs with Jumps
AU - Sun , Yabing
AU - Yang , Jie
AU - Zhao , Weidong
JO - Numerical Mathematics: Theory, Methods and Applications
VL - 1
SP - 243
EP - 274
PY - 2024
DA - 2024/02
SN - 17
DO - http://doi.org/10.4208/nmtma.OA-2023-0048
UR - https://global-sci.org/intro/article_detail/nmtma/22917.html
KW - Mean-field forward backward stochastic differential equation with jumps, stability analysis, error estimates.
AB - <p style="text-align: justify;">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.</p>