A novel second order scheme with one step for forward backward stochastic differential equations
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
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| _version_ | 1866912723545096192 |
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| author | Han, Qiang Lan, Shihao Zhu, Quanxin |
| author_facet | Han, Qiang Lan, Shihao Zhu, Quanxin |
| contents | In this paper, we present a novel explicit second order scheme with one step for solving the forward backward stochastic differential equations, with the Crank-Nicolson method as a specific instance within our proposed framework. We first present a rigorous stability result, followed by precise error estimates that confirm the proposed novel scheme achieves second-order convergence. The theoretical results for the proposed methods are supported by numerical experiments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_07118 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A novel second order scheme with one step for forward backward stochastic differential equations Han, Qiang Lan, Shihao Zhu, Quanxin Numerical Analysis In this paper, we present a novel explicit second order scheme with one step for solving the forward backward stochastic differential equations, with the Crank-Nicolson method as a specific instance within our proposed framework. We first present a rigorous stability result, followed by precise error estimates that confirm the proposed novel scheme achieves second-order convergence. The theoretical results for the proposed methods are supported by numerical experiments. |
| title | A novel second order scheme with one step for forward backward stochastic differential equations |
| topic | Numerical Analysis |
| url | https://arxiv.org/abs/2409.07118 |