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A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps
College of Science, University of Shanghai for Science and Technology, Shanghai, China
College of Science, University of Shanghai for Science and Technology, Shanghai, China
College of Science, University of Shanghai for Science and Technology, Shanghai, China
- 1 College of Science, University of Shanghai for Science and Technology, Shanghai, China
- 2 College of Science, University of Shanghai for Science and Technology, Shanghai, China
- 3 College of Science, University of Shanghai for Science and Technology, Shanghai, China
Applied Mathematics·Volume 07 (2016)·Pages 1408–1414·Published 25 July 2016·DOI10.4236/am.2016.712121
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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.
KeywordsNumerical SchemeError EstimatesBackward Stochastic Differential Equations
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