Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs (Q2361013)

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scientific article; zbMATH DE number 6737086
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    Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
    scientific article; zbMATH DE number 6737086

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      Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs (English)
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      29 June 2017
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      On the probability space defined as usual a numerical solution of decoupled forward-backward stochastic differential equations (FBSDEs) is considered: \( X_t= X_0 + \int_0^t b(s,X_s) ds + \int_0^t \sigma(s, X_s) dW_s \) (FSDE), \( Y_t= \phi(X_T) +\int_t^T f(s,X-s,Y_s,Z_s) ds - \int_t^T Z_s dW_s \) (BSDE), for \(t\in [0,T],\) where \(X_0\) is the inital condition of the forward stochastic differentail equation (FSDE), \( \phi(X_T)\) is the terminal condition of the backward stochastic differential equation (BSDE). As usually, using results of the Taylor and Ito-Taylor expansions, the Malliavin calculus theory of the Crank-Nicolson scheme is established and the strong convergence rate of the Crank-Nicolson scheme is proven.
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      convergence
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      Crank-Nicolson scheme
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      decoupled forward backward stochastic differential equations
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      Malliavin calculus
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      trapezoidal rule
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