One order numerical scheme for forward–backward stochastic differential equations

摘要

A one order numerical scheme based on the four step scheme developed by Ma et al. for the adapted solutions to a class of forward–backward stochastic differential equations is proposed and analyzed. For the decoupling quasilinear parabolic equations, a new kind of characteristics and finite difference method is used. While for the decoupled forward SDE, we use the Milstein scheme.