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2016•Applied MathematicsOpen access

A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps

Hongqiang Zhou, Yang Li, Zhe Wang

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Abstract

In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator linearly depending on . And we theoretically prove that the convergence rates of them are of second order for solving and of first order for solving and in norm.

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What this paper is about

In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator linearly depending on . And we theoretically prove that the convergence rates of them are of second order for solving and of first order for solving and in norm.

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Available abstract

In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator linearly depending on . And we theoretically prove that the convergence rates of them are of second order for solving and of first order for solving and in norm.

Key concepts: Mathematics, Stochastic differential equation, Scheme (mathematics), Convergence (economics), Order (exchange), Applied mathematics, Generator (circuit theory), Norm (philosophy)

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A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps — Research Paper | ScholarLens