A NEW SECOND ORDER NUMERICAL SCHEME FOR SOLVING DECOUPLED MEAN-FIELD FBSDES WITH JUMPS  

作　　者：Yabing Sun Weidong Zhao 

机构地区：[1]College of Science,National University of Defense Technology,Changsha,Hunan 410073,China [2]School of Mathematics&Finance Institute,Shandong University,Jinan,Shandong 250100,China

出　　处：《Journal of Computational Mathematics》2025年第1期229-256,共28页计算数学(英文)

基　　金：supported by the NSF of China(Grant Nos.12071261,12371398,12001539,11831010,11871068);by the China Postdoctoral Science Foundation(Grant No.2019TQ0073);by the Science Challenge Project(Grant No.TZ2018001)and by the National Key R&D Program of China(Grant No.2018YFA0703900).

摘　　要：In this paper, we consider the numerical solution of decoupled mean-field forward backward stochastic differential equations with jumps (MFBSDEJs). By using finite difference approximations and the Gaussian quadrature rule, and the weak order 2.0 Itô-Taylor scheme to solve the forward mean-field SDEs with jumps, we propose a new second order scheme for MFBSDEJs. The proposed scheme allows an easy implementation. Some numerical experiments are carried out to demonstrate the stability, the effectiveness and the second order accuracy of the scheme.

关 键 词：Mean-field forward backward stochastic differential equation with jumps Finite difference approximation Gaussian quadrature rule Second order 

分 类 号：O17[理学—数学]