Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations

Wei Zhang and Hui Min
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Wei Zhang: Faculty of Science, College of Statistics and Data Science, Beijing University of Technology, Beijing 100124, China
Hui Min: Faculty of Science, College of Statistics and Data Science, Beijing University of Technology, Beijing 100124, China

Mathematics, 2021, vol. 9, issue 8, 1-15

Abstract: In this paper, we mainly investigate the weak convergence analysis about the error terms which are determined by the discretization for solving the stochastic differential equation (SDE, for short) in forward-backward stochastic differential equations (FBSDEs, for short), which is on the basis of Itô Taylor expansion, the numerical SDE theory, and numerical FBSDEs theory. Under the weak convergence analysis of FBSDEs, we further establish better error estimates of recent numerical schemes for solving FBSDEs.

Keywords: weak convergence analysis; Itô Taylor expansion; error estimates; forward-backward differential equations (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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