@Article{JCM-41-2,
author = {Qiang, Han and Shaolin, Ji},
title = {Two-Step Scheme for Backward Stochastic Differential Equations},
journal = {Journal of Computational Mathematics},
year = {2023},
volume = {41},
number = {2},
pages = {287--304},
abstract = {<p style="text-align: justify;">In this paper, a stochastic linear two-step scheme has been presented to approximate backward stochastic differential equations (BSDEs). A necessary and sufficient condition is given to judge the $\mathbb{L}_2$-stability of our numerical schemes. This stochastic linear two-step method possesses a family of $3$-order convergence schemes in the sense of strong stability. The coefficients in the numerical methods are inferred based on the constraints of strong stability and $n$-order accuracy ($n\in\mathbb{N}^+$). Numerical experiments illustrate that the scheme is an efficient probabilistic numerical method.</p>},
issn = {1991-7139},
doi = {https://doi.org/10.4208/jcm.2112-m2019-0289},
url = {https://global-sci.com/article/84116/two-step-scheme-for-backward-stochastic-differential-equations}
}