Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

Bo Gong; Weidong Zhao

doi:10.4208/eajam.110417.070517a

Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

Bo Gong^*, Weidong Zhao^*

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

6 Citations (Scopus)

Abstract

In error estimates of various numerical approaches for solving decoupled forward backward stochastic differential equations (FBSDEs), the rate of convergence for one variable is usually less than for the other. Under slightly strengthened smoothness assumptions, we show that the fully discrete Euler scheme admits a first-order rate of convergence for both variables.

Original language	English
Pages (from-to)	548-565
Number of pages	18
Journal	East Asian Journal on Applied Mathematics
Volume	7
Issue number	3
DOIs	https://doi.org/10.4208/eajam.110417.070517a
Publication status	Published - Aug 2017

User-Defined Keywords

error estimate
Forward backward stochastic differential equations
fully discrete scheme

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10.4208/eajam.110417.070517a

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title = "Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations",

abstract = "In error estimates of various numerical approaches for solving decoupled forward backward stochastic differential equations (FBSDEs), the rate of convergence for one variable is usually less than for the other. Under slightly strengthened smoothness assumptions, we show that the fully discrete Euler scheme admits a first-order rate of convergence for both variables.",

keywords = "error estimate, Forward backward stochastic differential equations, fully discrete scheme",

author = "Bo Gong and Weidong Zhao",

note = "Publisher Copyright: {\textcopyright} 2017 Global-Science Press.",

year = "2017",

month = aug,

doi = "10.4208/eajam.110417.070517a",

language = "English",

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journal = "East Asian Journal on Applied Mathematics",

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T1 - Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

AU - Gong, Bo

AU - Zhao, Weidong

PY - 2017/8

Y1 - 2017/8

N2 - In error estimates of various numerical approaches for solving decoupled forward backward stochastic differential equations (FBSDEs), the rate of convergence for one variable is usually less than for the other. Under slightly strengthened smoothness assumptions, we show that the fully discrete Euler scheme admits a first-order rate of convergence for both variables.

AB - In error estimates of various numerical approaches for solving decoupled forward backward stochastic differential equations (FBSDEs), the rate of convergence for one variable is usually less than for the other. Under slightly strengthened smoothness assumptions, we show that the fully discrete Euler scheme admits a first-order rate of convergence for both variables.

KW - error estimate

KW - Forward backward stochastic differential equations

KW - fully discrete scheme

UR - http://www.scopus.com/inward/record.url?scp=85029504443&partnerID=8YFLogxK

U2 - 10.4208/eajam.110417.070517a

DO - 10.4208/eajam.110417.070517a

M3 - Journal article

AN - SCOPUS:85029504443

SN - 2079-7362

VL - 7

SP - 548

EP - 565

JO - East Asian Journal on Applied Mathematics

JF - East Asian Journal on Applied Mathematics

IS - 3

ER -

Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

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