Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
By using the Feynman-Kac formula and combining with It ô-Taylor expansion and finite difference approximation, we first develop an explicit third order onestep method for solving decoupled forward backward stochastic differential equations.Then based on the third order one, an explicit fourth order method is further proposed.Several numerical tests are also …