TY - JOUR
T1 - Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
AU - Jie Yang & Weidong Zhao
JO - East Asian Journal on Applied Mathematics
VL - 4
SP - 387
EP - 404
PY - 2018
DA - 2018/02
SN - 5
DO - http://doi.org/10.4208/eajam.280515.211015a
UR - https://global-sci.org/intro/article_detail/eajam/10826.html
KW - Convergence analysis, multistep schemes, forward-backward stochastic differential equations.
AB - <p style="text-align: justify;">Convergence analysis is presented for recently proposed multistep schemes,
when applied to a special type of forward-backward stochastic differential equations (FBSDEs)
that arises in finance and stochastic control. The corresponding $k$-step scheme admits
a $k$-order convergence rate in time, when the exact solution of the forward stochastic
differential equation (SDE) is given. Our analysis assumes that the terminal conditions
and the FBSDE coefficients are sufficiently regular.</p>