Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations. Issue 3 (7th September 2017)

• Record Type: Journal Article
• Authors: Gong, Bo; Zhao, Weidong
• Is Part Of: East Asian journal on applied mathematics. Volume 7:Issue 3(2017)
• Page Start: 548
• Page End: 565
• Publication Date: 2017-09-07
• Subjects: 60H35, -- 65C30; Forward backward stochastic differential equations, -- fully discrete scheme, -- error estimate; Applied mathematics -- Periodicals; 519.05
• DOI: 10.4208/eajam.110417.070517a
• Languages: English
• ISSNs: 2079-7362

Abstract

Abstract: In error estimates of various numerical approaches for solving decoupled forward backward stochastic differential equations (FBSDEs), the rate of convergence for one variable is usually less than for the other. Under slightly strengthened smoothness assumptions, we show that the fully discrete Euler scheme admits a first-order rate of convergence for both variables.