@Article{EAJAM-10-354, author = {Li , YangYang , Jie and Zhao , Weidong}, title = {A New Second-Order One-Step Scheme for Solving Decoupled FBSDES and Optimal Error Estimates}, journal = {East Asian Journal on Applied Mathematics}, year = {2020}, volume = {10}, number = {2}, pages = {354--380}, abstract = {

A novel second-order numerical scheme for solving decoupled forward backward stochastic differential equations is proposed. Unlike known second-order schemes for such equations, the forward stochastic differential equations are approximated by a simplified weak order-2 Itô-Taylor scheme. This makes the method more implementable and enhances the accuracy. If the operators involved satisfy certain commutativity conditions, the scheme with quadratic convergence can be simplified, which is important in applications. The stability of the method is studied and second-order optimal error estimates are obtained.

}, issn = {2079-7370}, doi = {https://doi.org/10.4208/eajam.280519.180919}, url = {http://global-sci.org/intro/article_detail/eajam/16131.html} }