A novel second order scheme with one step for forward backward stochastic differential equations
Numerical Analysis
2025-11-25 v1 Numerical Analysis
Abstract
In this paper, we present a novel explicit second order scheme with one step for solving the forward backward stochastic differential equations, with the Crank-Nicolson method as a specific instance within our proposed framework. We first present a rigorous stability result, followed by precise error estimates that confirm the proposed novel scheme achieves second-order convergence. The theoretical results for the proposed methods are supported by numerical experiments.
Cite
@article{arxiv.2409.07118,
title = {A novel second order scheme with one step for forward backward stochastic differential equations},
author = {Qiang Han and Shihao Lan and Quanxin Zhu},
journal= {arXiv preprint arXiv:2409.07118},
year = {2025}
}