Article citationsMore>>

Zhao, W., Chen, L. and Peng, S. (2006) A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations. SIAM: SIAM Journal on Scientific Computing, 28, 1563-1581.
https://doi.org/10.1137/05063341X

has been cited by the following article:

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

  AUTHORS: Zhe Wang, Yang Li

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

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.6 No.2, February 8, 2018

  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.