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arXiv · 2010.00253

An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by $G$-Brownian motion

Mingshang Hu·Lianzi Jiang
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Abstract

In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by $G$-Brownian motion ($G$-FBSDEs) which correspond to fully nonlinear partial differential equations (PDEs). First, we give an approximate conditional $G$-expectation and obtain feasible methods to calculate the distribution of $G$-Brownian motion. On this basis, some efficient numerical schemes for $G$-FBSDEs are then proposed. We rigorously analyze errors of the proposed schemes and prove the convergence results. Finally, several numerical experiments are given to demonstrate the accuracy of our method.

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Mingshang Hu, Lianzi Jiang. 2020-10-01. An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by $G$-Brownian motion. https://arxiv.org/abs/2010.00253

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