Let (Y, Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk $B^n$ from the underlying Brownian motion B by Skorokhod embedding, one can show $L_2$-convergence of the corresponding solutions $(Y^n,Z^n)$ to $(Y, Z).$ We estimate the rate of convergence based on smoothness properties, especially for a terminal condition function in $C^{2,\alpha}$. The proof relies on an approximative representation of $Z^n$ and uses the concept of discretized Malliavin calculus. Moreover, we use growth and smoothness properties of the partial differential equation associated to the FBSDE, as well as of the finite difference equations associated to the approximating stochastic equations. We derive these properties by probabilistic methods.

This paper is concerned with the asymptotic behavior of thefinite difference solutions of a class of nonlinear reaction diffusion equations with time delay. By introducing a pair of coupled upper and lower solutions, an existence result of the solution is given and an attractor of the solution is obtained without monotonicity assumptions on the nonlinear reaction function. This attractor is a sector between two coupled quasi-solutions of the corresponding “steady-state" problem, which are obtained froma monotone iteration process. A sufficient condition, ensuring that two coupled quasi-solutions coincide, is given. Also given is the application to a nonlinear reaction diffusion problem with time delay for three different types of reaction functions, including some numerical results which validate the theoretical analysis.