A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps

作     者：Hongqiang Zhou Yang Li Zhe Wang Hongqiang Zhou;Yang Li;Zhe Wang

作者机构：College of Science University of Shanghai for Science and Technology Shanghai China 

出 版 物：《Applied Mathematics》 (应用数学（英文）)

年 卷 期：2016年第7卷第12期

页      面：1408-1414页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Numerical Scheme Error Estimates Backward Stochastic Differential Equations 

摘      要：In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator linearly depending on . And we theoretically prove that the convergence rates of them are of second order for solving and of first order for solving and in norm.