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 JAMP  Vol.6 No.2 , February 2018
Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs
Abstract: In this paper, under weak conditions, we theoretically prove the second-order convergence rate of the Crank-Nicolson scheme for solving a kind of decoupled forward-backward stochastic differential equations.
Cite this paper: Wang, Z. and Li, Y. (2018) Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs. Journal of Applied Mathematics and Physics, 6, 338-346. doi: 10.4236/jamp.2018.62032.
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