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A numerical method for forward–backward stochastic equations with delay and anticipated term

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  • Zhang, Shuaiqi
  • Xiong, Jie

Abstract

This paper deals with numerical scheme for a forward–backward stochastic differential system with delay and anticipated term. By a discretization technique, we prove that the scheme converges in the strong L2 sense. The numerical implementation is demonstrated by an example.

Suggested Citation

  • Zhang, Shuaiqi & Xiong, Jie, 2019. "A numerical method for forward–backward stochastic equations with delay and anticipated term," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 107-115.
    • Handle: RePEc:eee:stapro:v:149:y:2019:i:c:p:107-115
    DOI: 10.1016/j.spl.2019.01.032
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    References listed on IDEAS

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    1. Xiong, Jie, 2008. "An Introduction to Stochastic Filtering Theory," OUP Catalogue, Oxford University Press, number 9780199219704.
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    Keywords

    FBSDEs; Delay; Anticipated;
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