标题:Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
作者:LI Yang;YANG Jie;ZHAO WeiDong;
作者机构:[LI Yang;YANG Jie;ZHAO WeiDong]College of Science,University of Shanghai for Science and Technology;[LI Yang;YANG Jie;ZHAO WeiDong]School of Mathemati 更多
来源:Science China(Mathematics)
出版年:2017
期:05
页码:923-948
关键词:convergence analysis;Crank-Nicolson scheme;decoupled forward backward stochastic differential equations;Malliavin calculus;trapezoidal rule
摘要:In this work, we theoretically analyze the convergence error estimates of the Crank-Nicolson(C-N) scheme for solving decoupled FBSDEs. Based on the Taylor and It-Taylor expansions, the Malliavin calculus theory(e.g.,the multiple Malliavin integration-by-parts formula), and our new truncation error ...
资源类型:期刊论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=JAXG201705009&DbName=CJFQ2017
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