@Article{IJNAM-10-4,
author = {},
title = {Error Estimates of the Crank-Nicolson Scheme for Solving Backward Stochastic Differential Equations},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2013},
volume = {10},
number = {4},
pages = {876--898},
abstract = {<p style="text-align: justify;">In this paper, we study error estimates of a special $\theta$-scheme — the Crank-Nicolson scheme proposed in [25] for solving the backward stochastic differential equation with a general
generator, $-dy_t = f(t, y_t, z_t)dt-z_tdW_t$. We rigorously prove that under some reasonable regularity 
conditions on $\varphi$ and $f$, this scheme is second-order accurate for solving both $y_t$ and $z_t$ when
the errors are measured in the $L^p (p \geq 1)$ norm.</p>},
issn = {2617-8710},
doi = {https://doi.org/2013-IJNAM-601},
url = {https://global-sci.com/article/83438/error-estimates-of-the-crank-nicolson-scheme-for-solving-backward-stochastic-differential-equations}
}