Second-order schemes for solving decoupled forward backward stochastic differential equations |
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| Authors: | WeiDong Zhao Yang Li Yu Fu |
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| Affiliation: | 1. School of Mathematics, Shandong University, Jinan, 250100, China
2. College of Science, University of Shanghai for Science and Technology, Shanghai, 200093, China
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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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| Keywords: | forward backward stochastic differential equations second-order scheme error estimate trapezoidal rule Malliavin calculus |
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