Numerical methods for forward-backward stochastic differential equations
Douglas, Jim ; Ma, Jin ; Protter, Philip
Ann. Appl. Probab., Tome 6 (1996) no. 1, p. 940-968 / Harvested from Project Euclid
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In this paper we study numerical methods to approximate the adapted solutions to a class of forward-backward stochastic differential equations (FBSDE's). The almost sure uniform convergence as well as the weak convergence of the scheme are proved, and the rate of convergence is proved to be as good as the approximation for the corresponding forward SDE. The idea of the approximation is based on the four step scheme for solving such an FBSDE, developed by Ma, Protter and Yong. For the PDE part, the combined characteristics and finite difference method is used, while for the forward SDE part, we use the first order Euler scheme.
Publié le : 1996-08-14
Classification:  Forward-backward stochastic differential equations,  quasilinear parabolic equations,  combined characteristics and finite difference method,  Euler's scheme,  weak convergence,  65U05,  60H10,  65M06,  65M25 
@article{1034968235,
     author = {Douglas, Jim and Ma, Jin and Protter, Philip},
     title = {Numerical methods for forward-backward stochastic differential
		 equations},
     journal = {Ann. Appl. Probab.},
     volume = {6},
     number = {1},
     year = {1996},
     pages = { 940-968},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1034968235}
}

Douglas, Jim; Ma, Jin; Protter, Philip. Numerical methods for forward-backward stochastic differential
		 equations. Ann. Appl. Probab., Tome 6 (1996) no. 1, pp.  940-968. http://gdmltest.u-ga.fr/item/1034968235/