| Autor: |
Han, Qiang, Lan, Shihao, Zhu, Quanxin |
| Rok vydání: |
2024 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
In this paper, we present a novel explicit second order scheme with one step for solving the forward backward stochastic differential equations, with the Crank-Nicolson method as a specific instance within our proposed framework. We first present a rigorous stability result, followed by precise error estimates that confirm the proposed novel scheme achieves second-order convergence. The theoretical results for the proposed methods are supported by numerical experiments. |
| Databáze: |
arXiv |
| Externí odkaz: |
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