TY - JOUR
T1 - A Numerical Method and Its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
AU - Weidong Zhao, Wei Zhang & Lili Ju
JO - Communications in Computational Physics
VL - 3
SP - 618
EP - 646
PY - 2014
DA - 2014/03
SN - 15
DO - http://doi.org/10.4208/cicp.280113.190813a
UR - https://global-sci.org/intro/article_detail/cicp/7108.html
KW - 
AB - <p style="text-align: justify;">In this paper, a new numerical method for solving the decoupled forward-backward stochastic differential equations (FBSDEs) is proposed based on some specially derived reference equations. We rigorously analyze errors of the proposed method
under general situations. Then we present error estimates for each of the specific cases
when some classical numerical schemes for solving the forward SDE are taken in the
method; in particular, we prove that the proposed method is second-order accurate
if used together with the order-2.0 weak Taylor scheme for the SDE. Some examples
are also given to numerically demonstrate the accuracy of the proposed method and
verify the theoretical results.</p>