Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations
Open Access
- 13 April 2021
- journal article
- research article
- Published by MDPI AG in Mathematics
- Vol. 9 (8) , 848
Abstract
In this paper, we mainly investigate the weak convergence analysis about the error terms which are determined by the discretization for solving the stochastic differential equation (SDE, for short) in forward-backward stochastic differential equations (FBSDEs, for short), which is on the basis of Itô Taylor expansion, the numerical SDE theory, and numerical FBSDEs theory. Under the weak convergence analysis of FBSDEs, we further establish better error estimates of recent numerical schemes for solving FBSDEs.Keywords
Funding Information
- National Natural Science Foundation of China (12001023)
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