SECOND-ORDER NUMERICAL SCHEMES FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS

• 来源期刊: 计算数学（英文版）
• 关键词: Decoupled FBSDEs with Lévy jumps Backward Kolmogorov equation Nonlinear Feynman-Kac formula Second-order convergence Error estimates
• 年，卷（期）: 2017,（2）
• 页码范围: 213-244
• 页数: 32页
• 语种: 英文
• DOI: 10.4208/jcm.1612-m2015-0245

摘要

We propose new numerical schemes for decoupled forward-backward stochastic differential equations (FBSDEs) with jumps,where the stochastic dynamics are driven by a ddimensional Brownian motion and an independent compensated Poisson random measure.A semi-discrete scheme is developed for discrete time approximation,which is constituted by a classic scheme for the forward SDE [20,28] and a novel scheme for the backward SDE.Under some reasonable regularity conditions,we prove that the semi-discrete scheme can achieve second-order convergence in approximating the FBSDEs of interest;and such convergence rate does not require jump-adapted temporal discretization.Next,to add in spatial discretization,a fully discrete scheme is developed by designing accurate quadrature rules for estimating the involved conditional mathematical expectations.Several numerical examples are given to illustrate the effectiveness and the high accuracy of the proposed schemes.