A new second-order one-step scheme for solving decoupled FBSDES and optimal error estimates (Q4986603)
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scientific article; zbMATH DE number 7340254
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| English | A new second-order one-step scheme for solving decoupled FBSDES and optimal error estimates |
scientific article; zbMATH DE number 7340254 |
Statements
A New Second-Order One-Step Scheme for Solving Decoupled FBSDES and Optimal Error Estimates (English)
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27 April 2021
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FBSDEs
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simplified weak Itô-Taylor scheme
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second-order scheme
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error estimate
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0.8803996443748474
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0.8483245968818665
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0.8368515968322754
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