We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones ...We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. Probab., 2008, 18： 143-177], less computational work is needed for our method. For both our schemes and the ones proposed by Bender and Zhang, we rigorously obtain first-order error estimates, which improve the half-order error estimates of Bender and Zhang. Moreover, numerical tests are given to demonstrate the first-order accuracy of the schemes.展开更多
基金Acknowledgements The authors would like to thank the referees for the valuable comments, which improved the paper a lot. This work was partially supported by the National Natural Science Foundations of China （Grant Nos. 91130003, 11171189） and the Natural Science Foundation of Shandong Province （No. ZR2011AZ002）.
文摘We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. Probab., 2008, 18： 143-177], less computational work is needed for our method. For both our schemes and the ones proposed by Bender and Zhang, we rigorously obtain first-order error estimates, which improve the half-order error estimates of Bender and Zhang. Moreover, numerical tests are given to demonstrate the first-order accuracy of the schemes.
