TITLE:
Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs
AUTHORS:
Zhe Wang, Yang Li
KEYWORDS:
Forward Backward Stochastic Differential Equations, Second-Order Scheme, Error Estimate, Trapezoidal Rule
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.6 No.2,
February
8,
2018
ABSTRACT: 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.