Convergence of scheme for decoupled forward backward stochastic differential equation

Abstract

We study the convergence rate of Bouchard-Touzi-Z scheme (in short B-T-Z) for Decoupled Forward Backward Stochastic Differential Equation, this convergence is controlled by the stability of truncation error and the Markovian property of its processes. Then, we present the algorithm used and provide some numerical results. Finally, we give a fundamental stability property for the reected Backward Stochastic Differential Equation in a Markovian framework.