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<p>In this paper, we establish the strong order 1/2 of convergence in the averaging principle for multiscale forward–backward stochastic differential equations with Lipschitz coefficients. Moreover, this convergence order is shown to be optimal through an example.</p>

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Optimal Convergence Rates in the Averaging Principle for Multiscale FBSDEs with Lipschitz Coefficients

  • 期刊论文

  • 发表日期：

    2026年8月1日

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  • Qing Ji,
  • Jicheng Liu

摘要

In this paper, we establish the strong order 1/2 of convergence in the averaging principle for multiscale forward–backward stochastic differential equations with Lipschitz coefficients. Moreover, this convergence order is shown to be optimal through an example.