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arXiv · 1606.06560

Convergence Error Estimates of the Crank-Nicolson Scheme for Solving Decoupled FBSDEs

Yang Li·Jie Yang·Weidong Zhao
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Abstract

The Crank-Nicolson (short for C-N) scheme for solving {\it backward stochastic differential equation} (BSDE), driven by Brownian motions, was first developed by the authors W. Zhao, L. Chen and S. Peng [SIAM J. Sci. Comput., 28 (2006), 1563--1581], and numerical experiments showed that the accuracy of this C-N scheme was of second order for solving BSDE. This C-N scheme was extended to solve decoupled {\it forward-backward stochastic differential equations} (FBSDEs) by W. Zhao, Y. Li and Y. Fu [Sci. China. Math., 57 (2014), 665--686], and it was numerically shown that the accuracy of the extended C-N scheme was also of second order. To our best knowledge, among all one-step (two-time level) numerical schemes with second-order accuracy for solving BSDE or FBSDEs, such as the ones in the above two papers and the one developed by the authors D. Crisan and K. Manolarakis [Ann. Appl. Probab., 24, 2 (2014), 652--678], the C-N scheme is the simplest one in applications. The theoretical proofs of second-order error estimates reported in the literature for these schemes for solving decoupled FBSDEs did not include the C-N scheme. The purpose of this work is to theoretically analyze the error estimate of the C-N scheme for solving decoupled FBSDEs. Based on the Taylor and It\^o-Taylor expansions, the Malliavin calculus theory (e.g., the multiple Malliavin integration-by-parts formula), and our new truncation error cancelation techniques, we rigorously prove that the strong convergence rate of the C-N scheme is of second order for solving decoupled FBSDEs, which fills the gap between the second-order numerical and theoretical analysis of the C-N scheme.

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Yang Li, Jie Yang, Weidong Zhao. 2016-06-21. Convergence Error Estimates of the Crank-Nicolson Scheme for Solving Decoupled FBSDEs. https://doi.org/10.1007/s11425-016-0178-8

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