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 - <p style="text-align: justify;">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.</p>