TY - JOUR
T1 - A New Second Order Numerical Scheme for Solving Decoupled Mean-Field FBSDEs with Jumps
AU - Sun , Yabing
AU - Zhao , Weidong
JO - Journal of Computational Mathematics
VL - 1
SP - 229
EP - 256
PY - 2024
DA - 2024/11
SN - 43
DO - http://doi.org/10.4208/jcm.2310-m2023-0089
UR - https://global-sci.org/intro/article_detail/jcm/23537.html
KW - Mean-field forward backward stochastic differential equation with jumps, Finite difference approximation, Gaussian quadrature rule, Second order.
AB - <p style="text-align: justify;">In this paper, we consider the numerical solution of decoupled mean-field forward backward stochastic differential equations with jumps (MFBSDEJs). By using finite difference approximations and the Gaussian quadrature rule, and the weak order 2.0 Itô-Taylor
scheme to solve the forward mean-field SDEs with jumps, we propose a new second order
scheme for MFBSDEJs. The proposed scheme allows an easy implementation. Some numerical experiments are carried out to demonstrate the stability, the effectiveness and the
second order accuracy of the scheme.</p>