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

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Abstract

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.

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Authors and Affiliations

  1. School of Mathematics, Shandong University, Jinan, 250100, China

    WeiDong Zhao & Yu Fu

  2. College of Science, University of Shanghai for Science and Technology, Shanghai, 200093, China

    Yang Li

Authors
  1. WeiDong Zhao
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  2. Yang Li
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  3. Yu Fu
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Correspondence to WeiDong Zhao.

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Zhao, W., Li, Y. & Fu, Y. Second-order schemes for solving decoupled forward backward stochastic differential equations. Sci. China Math. 57, 665–686 (2014). https://doi.org/10.1007/s11425-013-4764-0

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  • DOI: https://doi.org/10.1007/s11425-013-4764-0

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