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Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations

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Faculty of Science, College of Statistics and Data Science, Beijing University of Technology, Beijing 100124, China
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Academic Editor: Panagiotis-Christos Vassiliou
Mathematics 2021, 9(8), 848; https://doi.org/10.3390/math9080848
Received: 18 March 2021 / Revised: 6 April 2021 / Accepted: 11 April 2021 / Published: 13 April 2021
In this paper, we mainly investigate the weak convergence analysis about the error terms which are determined by the discretization for solving the stochastic differential equation (SDE, for short) in forward-backward stochastic differential equations (FBSDEs, for short), which is on the basis of Itô Taylor expansion, the numerical SDE theory, and numerical FBSDEs theory. Under the weak convergence analysis of FBSDEs, we further establish better error estimates of recent numerical schemes for solving FBSDEs. View Full-Text
Keywords: weak convergence analysis; Itô Taylor expansion; error estimates; forward-backward differential equations weak convergence analysis; Itô Taylor expansion; error estimates; forward-backward differential equations
MDPI and ACS Style

Zhang, W.; Min, H. Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations. Mathematics 2021, 9, 848. https://doi.org/10.3390/math9080848

AMA Style

Zhang W, Min H. Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations. Mathematics. 2021; 9(8):848. https://doi.org/10.3390/math9080848

Chicago/Turabian Style

Zhang, Wei, and Hui Min. 2021. "Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations" Mathematics 9, no. 8: 848. https://doi.org/10.3390/math9080848

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