TY - JOUR
T1 - One-Step Multi-Derivative Methods for Backward Stochastic Differential Equations
AU - Zhang , Chengjian
AU - Wu , Jingwen
AU - Zhao , Weidong
JO - Numerical Mathematics: Theory, Methods and Applications
VL - 4
SP - 1213
EP - 1230
PY - 2019
DA - 2019/06
SN - 12
DO - http://doi.org/10.4208/nmtma.OA-2018-0122
UR - https://global-sci.org/intro/article_detail/nmtma/13221.html
KW - Backward stochastic differential equations, one-step multi-derivative methods, $\theta$-method,
Itô-Taylor expansion, third-order accuracy.
AB - <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>