Numer. Math. Theor. Meth. Appl., 17 (2024), pp. 463-493.
Published online: 2024-05
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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.
}, issn = {2079-7338}, doi = {https://doi.org/10.4208/nmtma.OA-2023-0134}, url = {http://global-sci.org/intro/article_detail/nmtma/23108.html} }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.