标题：Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
作者：Zhang, Wei; Zhao, Weidong
作者机构：[Zhang Wei] School of Mathematics, Finance Institute, Shandong University, Jinan, Shandong 250100, China.;[Zhao Weidong] School of Mathematics, Financ 更多
通讯作者地址：[Zhao, WD]Shandong Univ, Finance Inst, Sch Math, Jinan 250100, Peoples R China.
关键词：Weakly coupled forward-backward stochastic differential equations (FBSDEs);Euler-type scheme;time discretization;first-order;error estimate
摘要：We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations (FBSDEs). Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. Probab., 2008, 18: 143-177], less computational work is needed for our method. For both our schemes and the ones proposed by Bender and Zhang, we rigorously obtain first-order error estimates, which improve the half-order error estimates of Bender and Zhang. Moreover, numerical tests are given to demonstrate the first-order accuracy of the schemes.