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Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs

Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs
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摘要 In this paper, under weak conditions, we theoretically prove the second-order convergence rate of the Crank-Nicolson scheme for solving a kind of decoupled forward-backward stochastic differential equations. In this paper, under weak conditions, we theoretically prove the second-order convergence rate of the Crank-Nicolson scheme for solving a kind of decoupled forward-backward stochastic differential equations.
作者 Zhe Wang Yang Li
机构地区 College of Science
出处 《Journal of Applied Mathematics and Physics》 2018年第2期338-346,共9页 应用数学与应用物理（英文）
关键词 FORWARD BACKWARD Stochastic Differential Equations SECOND-ORDER Scheme Error ESTIMATE Trapezoidal RULE Forward Backward Stochastic Differential Equations Second-Order Scheme Error Estimate Trapezoidal Rule
分类号 O1 [理学—基础数学]
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Journal of Applied Mathematics and Physics
2018年 第2期

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