In this paper,by using trapezoidal rule and the integration-by-parts formula of Malliavin calculus,we propose three new numerical schemes for solving decoupled forward-backward stochastic differential equations.We the...In this paper,by using trapezoidal rule and the integration-by-parts formula of Malliavin calculus,we propose three new numerical schemes for solving decoupled forward-backward stochastic differential equations.We theoretically prove that the schemes have second-order convergence rate.To demonstrate the effectiveness and the second-order convergence rate,numerical tests are given.展开更多
基金supported by National Natural Science Foundation of China (Grant Nos. 91130003 and 11171189)Natural Science Foundation of Shandong Province (Grant No. ZR2011AZ002)
文摘In this paper,by using trapezoidal rule and the integration-by-parts formula of Malliavin calculus,we propose three new numerical schemes for solving decoupled forward-backward stochastic differential equations.We theoretically prove that the schemes have second-order convergence rate.To demonstrate the effectiveness and the second-order convergence rate,numerical tests are given.
