{
  "id": "1808.02173",
  "version": "v1",
  "published": "2018-08-07T01:17:10.000Z",
  "updated": "2018-08-07T01:17:10.000Z",
  "title": "Adapted $θ$-Scheme and Its Error Estimates for Backward Stochastic Differential Equations",
  "authors": [
    "Chol-Kyu Pak",
    "Mun-Chol Kim",
    "Chang-Ho Rim"
  ],
  "comment": "18 pages, 3 tables, 1 figure",
  "categories": [
    "math.NA",
    "math.PR",
    "q-fin.MF"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2018-08-07T01:17:10.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H35",
      "65C20",
      "60H10"
    ],
    "keywords": [
      "backward stochastic differential equations",
      "error estimates",
      "high order numerical scheme",
      "reduce truncation errors",
      "nonlinear scheme"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 18,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}