@Article{NMTMA-17-2,
author = {Yafei, Xu and Zhao, Weidong},
title = {Richardson Extrapolation of the Euler Scheme for Backward Stochastic Differential Equations},
journal = {Numerical Mathematics: Theory, Methods and Applications},
year = {2024},
volume = {17},
number = {2},
pages = {463--493},
abstract = {<p style="text-align: justify;">In this work, we consider Richardson extrapolation of the Euler scheme
for backward stochastic differential equations (BSDEs). First, applying the Adomian
decomposition to the nonlinear generator of BSDEs, we introduce a new system
of BSDEs. Then we theoretically prove that the solution of the Euler scheme for
BSDEs admits an asymptotic expansion, in which the coefficients in the expansions
are the solutions of the system. Based on the expansion, we propose Richardson
extrapolation algorithms for solving BSDEs. Finally, some numerical tests are carried
out to verify our theoretical conclusions and to show the stability, efficiency and high
accuracy of the algorithms.</p>},
issn = {2079-7338},
doi = {https://doi.org/10.4208/nmtma.OA-2023-0134},
url = {https://global-sci.com/article/91267/richardson-extrapolation-of-the-euler-scheme-for-backward-stochastic-differential-equations}
}