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Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs

DOI: 10.4236/jamp.2018.62032, PP. 338-346

Keywords: Forward Backward Stochastic Differential Equations, Second-Order Scheme, Error Estimate, Trapezoidal Rule

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Abstract:

In this paper, under weak conditions, we theoretically prove the second-order convergence rate of the Crank-Nicolson scheme for solving a kind of decoupled forward-backward stochastic differential equations.

References

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