An Accurate Numerical Scheme for Mean-Field Forward and Backward SDEs with Jumps  

作　　者：Yabing Sun Jie Yang Weidong Zhao 

机构地区：[1]College of Science,National University of Defense Technology,Changsha 410073,China [2]School of Mathematics and Statistics,Shandong University,Weihai 264209,China [3]School of Mathematics,Shandong University,Jinan 250100,China

出　　处：《Numerical Mathematics(Theory,Methods and Applications)》2024年第1期243-274,共32页高等学校计算数学学报（英文版）

基　　金：supported by the NSF of China(Grant Nos.12071261,12001539,11801320,11831010,12371398);by the National Key R&D Program of China(Grant No.2018YFA0703900);by the NSF of Shandong Province(Grant No.ZR2023MA055);by the NSF of Hunan Province(Grant No.2020JJ5647);by the China Postdoctoral Science Foundation(Grant No.2019TQ0073).

摘　　要：In this work,we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps.The sta-bility and the rigorous error estimates are presented,which show that the proposed scheme yields a second order rate of convergence,when the forward mean-field stochastic differential equation is solved by the weak order 2.0 Itˆo-Taylor scheme.Numerical experiments are carried out to verify the theoretical results.

关 键 词：Mean-field forward backward stochastic differential equation with jumps stability analysis error estimates 

分 类 号：O17[理学—数学]