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Volume 7, Issue 3
Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

Bo Gong & Weidong Zhao

DOI: 10.4208/eajam.110417.070517a

East Asian J. Appl. Math., 7 (2017), pp. 548-565.

Published online: 2018-02

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  • 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.

  • Keywords

Forward backward stochastic differential equations, fully discrete scheme, error estimate.

  • AMS Subject Headings

60H35, 65C30

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{EAJAM-7-548, author = {Bo Gong and Weidong Zhao}, title = {Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations}, journal = {East Asian Journal on Applied Mathematics}, year = {2018}, volume = {7}, number = {3}, pages = {548--565}, 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.

}, issn = {2079-7370}, doi = {https://doi.org/10.4208/eajam.110417.070517a}, url = {http://global-sci.org/intro/article_detail/eajam/10764.html} }
TY - JOUR T1 - Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations AU - Bo Gong & Weidong Zhao JO - East Asian Journal on Applied Mathematics VL - 3 SP - 548 EP - 565 PY - 2018 DA - 2018/02 SN - 7 DO - http://doi.org/10.4208/eajam.110417.070517a UR - https://global-sci.org/intro/article_detail/eajam/10764.html KW - Forward backward stochastic differential equations, fully discrete scheme, error estimate. AB -

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.

Bo Gong and Weidong Zhao. (2018). Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations. East Asian Journal on Applied Mathematics. 7 (3). 548-565. doi:10.4208/eajam.110417.070517a
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