@Article{NMTMA-12-4,
author = {Wu, Jingwen and Zhao, Weidong and Zhang, Chengjian and Wu, Jingwen and Zhao, Weidong},
title = {One-Step Multi-Derivative Methods for Backward Stochastic Differential Equations},
journal = {Numerical Mathematics: Theory, Methods and Applications},
year = {2019},
volume = {12},
number = {4},
pages = {1213--1230},
abstract = {<p style="text-align: justify;">This paper deals with numerical solutions of backward stochastic differential equations (BSDEs). For solving BSDEs, a class of third-order one-step multi-derivative methods are derived. Several numerical examples are presented to illustrate the computational effectiveness and high-order accuracy of the methods. To show the advantage of the methods, a comparison with $\theta$-methods is also given.</p>},
issn = {2079-7338},
doi = {https://doi.org/10.4208/nmtma.OA-2018-0122},
url = {https://global-sci.com/article/90437/one-step-multi-derivative-methods-for-backward-stochastic-differential-equations}
}