Second order discretization of Backward SDEs
For researchers in numerical methods for stochastic processes, this work provides a more accurate discretization for BSDEs, though it is an incremental improvement over existing first-order approaches.
This paper introduces a second-order discretization for backward stochastic differential equations (BSDEs), improving upon a previous first-order method. The new scheme achieves higher accuracy by incorporating higher-order implicit-explicit and predictor-corrector techniques.
In [5] the authors suggested a new algorithm for the numerical approximation of a BSDE by merging the cubature method with the first order discretization developed by [3] and [16]. Though the algorithm presented in [5] compared satisfactorily with other methods it lacked the higher order nature of the cubature method due to the use of the low order discretization. In this paper we introduce a second order discretization of the BSDE in the spirit of higher order implicit-explicit schemes for forward SDEs and predictor corrector methods.