Error Estimate of the Crank-Nicolson Scheme for Solving the Decoupled FBSDEs

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：ustczhy

【摘要】

：

　　In this talk,by the theory of the multiple Malliavin calculus,we will introduce Crank-Nicolson scheme for solving decoupled forward-backward stochastic diff

【作者】

：

Li Yang Zhao Weidong

【机构】

：

Univ.of Shanghai for Sci.& Tech.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　In this talk,by the theory of the multiple Malliavin calculus,we will introduce Crank-Nicolson scheme for solving decoupled forward-backward stochastic differential equations,and give the rigorous proof of second-order convergence rate of the scheme.

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Error Estimate of the Crank-Nicolson Scheme for Solving the Decoupled FBSDEs

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