Adapted $\theta$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations

Chol-Kyu Pak, Mun-Chol Kim and Chang-Ho Rim

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Abstract: In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional $\theta$-scheme, we reduce truncation errors by taking $\theta$ carefully for every subinterval according to the characteristics of integrands. We give error estimates of this nonlinear scheme and verify the order of scheme through a typical numerical experiment.

Date: 2018-08
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