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.
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.
作者
Hongqiang Zhou
Yang Li
Zhe Wang
Hongqiang Zhou;Yang Li;Zhe Wang(College of Science, University of Shanghai for Science and Technology, Shanghai, China)
