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Numerical Algorithms

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25-06-2019 | Original Paper

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

Authors: Yabing Sun, Weidong Zhao

Published in: Numerical Algorithms | Issue 1/2020

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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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Title: An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
Authors: Yabing Sun
Weidong Zhao
Publication date: 25-06-2019
Publisher: Springer US
Published in: Numerical Algorithms / Issue 1/2020
Print ISSN: 1017-1398
Electronic ISSN: 1572-9265
DOI: https://doi.org/10.1007/s11075-019-00754-2

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