Second-order schemes for solving decoupled forward backward stochastic differential equations

被引：0

作者：

ZHAO WeiDong ^{[1
]}

LI Yang ^{[2
]}

FU Yu ^{[1
]}

机构：

[1] School of Mathematics,Shandong University

[2] College of Science,University of Shanghai for Science and Technology

来源：

ScienceChina(Mathematics) | 2014年 / 57卷 / 04期

关键词：

forward backward stochastic differential equations; second-order scheme; error estimate; trapezoidal rule; Malliavin calculus;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper,by using trapezoidal rule and the integration-by-parts formula of Malliavin calculus,we propose three new numerical schemes for solving decoupled forward-backward stochastic differential equations.We theoretically prove that the schemes have second-order convergence rate.To demonstrate the effectiveness and the second-order convergence rate,numerical tests are given.

引用

页码：665 / 686

页数：22

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