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An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations

Zeitschrift:: Numerical Algorithms > Ausgabe 1/2020

Autoren:: Yabing Sun, Weidong Zhao

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Abstract

In this paper, we propose an explicit second-order scheme for solving decoupled mean-field forward backward stochastic differential equations. Its stability is theoretically proved, and its error estimates are rigorously deduced, which show that the proposed scheme is of second-order accurate when the weak-order 2.0 Itô-Taylor scheme is used to solve mean-field stochastic differential equations. Some numerical experiments are presented to verify the theoretical results.

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Titel: An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
Autoren:: Yabing Sun
Weidong Zhao
Publikationsdatum: 25.06.2019
DOI: https://doi.org/10.1007/s11075-019-00754-2
Verlag: Springer US
Zeitschrift: Numerical Algorithms
Ausgabe 1/2020
Print ISSN: 1017-1398
Elektronische ISSN: 1572-9265

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