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

DOI10.1007/s11425-016-0178-8zbMath1372.65018arXiv1606.06560OpenAlexW3105143339MaRDI QIDQ2361013

Weidong Zhao, Yang Li, Jie Yang

Publication date: 29 June 2017

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.06560

zbMATH Keywords

convergenceMalliavin calculusCrank-Nicolson schemetrapezoidal ruledecoupled forward backward stochastic differential equations

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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