Applied Mathematics

Volume 7, Issue 12 (July 2016)

ISSN Print: 2152-7385   ISSN Online: 2152-7393

Google-based Impact Factor: 0.58  Citations  

A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps

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DOI: 10.4236/am.2016.712121    1,822 Downloads   3,013 Views  Citations

ABSTRACT

In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator  linearly depending on . And we theoretically prove that the convergence rates of them are of second order for solving  and of first order for solving  and  in  norm.

Share and Cite:

Zhou, H. , Li, Y. and Wang, Z. (2016) A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps. Applied Mathematics, 7, 1408-1414. doi: 10.4236/am.2016.712121.

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