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 -

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.