TY - JOUR
T1 - An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
AU - Sun , Yabing
AU - Zhao , Weidong
JO - East Asian Journal on Applied Mathematics
VL - 3
SP - 566
EP - 593
PY - 2020
DA - 2020/06
SN - 10
DO - http://doi.org/10.4208/eajam.271119.200220
UR - https://global-sci.org/intro/article_detail/eajam/16983.html
KW - Anticipated forward backward stochastic differential equations, explicit scheme, error
estimate, second order convergence.
AB - <p style="text-align: justify;">The Feynman-Kac formula and the Lagrange interpolation method are used in
the construction of an explicit second order scheme for decoupled anticipated forward
backward stochastic differential equations. The stability of the scheme is rigorously
proved and error estimates are established. The scheme has the second order accuracy
when weak order 2.0 Taylor scheme is employed to solve stochastic differential equations. Numerical tests confirm the theoretical findings.</p>