Author(s)

Zhe Wang, Yang Li

College of Science, University of Shanghai for Science and Technology, Shanghai, China.

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.

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

Wang, Z. and Li, Y. (2018) Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs. Journal of Applied Mathematics and Physics, 6, 338-346. doi: 10.4236/jamp.2018.62032.