A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps
نویسندگان
چکیده
In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator ( ) ( ) ( ) t t t t f r t x y h t z g t , , = + + Γ linearly depending on t z . And we theoretically prove that the convergence rates of them are of second order for solving t y and of first order for solving t z and t Γ in p L norm.
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