A discretization scheme for path-dependent FBSDEs (2308.07029v1)

Abstract: This paper studies a discretization scheme for solutions to forward-backward stochastic differential equations (FBSDEs) with path-dependent coefficients. We show the convergence of the Picard-type iteration to the FBDSE solution and provide its convergence rate. To the best of our knowledge, this is the first result of discretization scheme for path-dependent FBSDEs. Using this result, we establish a numerical method for solutions to second-order parabolic path-dependent partial differential equations. To achieve this, weak approximation of martingale representation theorem (Cont, Rama, and Yi Lu. Weak approximation of martingale representations." Stochastic Processes and their Applications 2016) is employed. Our results generalize the scheme for Markovian cases in (Bender, Christian, and Robert Denk.A forward scheme for backward SDEs." Stochastic processes and their applications, 2007)