Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

被引：0
|
作者：
Yang Li
Jie Yang
WeiDong Zhao
机构：
[1] University of Shanghai for Science and Technology,College of Science
[2] Shandong University,School of Mathematics
来源：
Science China Mathematics | 2017年 / 60卷
关键词：
convergence analysis; Crank-Nicolson scheme; decoupled forward backward stochastic differential equations; Malliavin calculus; trapezoidal rule; 65C20; 60H35;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this work, we theoretically analyze the convergence error estimates of the Crank-Nicolson (C-N) scheme for solving decoupled FBSDEs. Based on the Taylor and Itô-Taylor expansions, the Malliavin calculus theory (e.g., the multiple Malliavin integration-by-parts formula), and our new truncation error cancelation techniques, we rigorously prove that the strong convergence rate of the C-N scheme is of second order for solving decoupled FBSDEs, which fills the gap between the second-order numerical and theoretical analysis of the C-N scheme.
引用
收藏
页码：923 / 948
页数：25
相关论文
共 50 条
12345