Error estimates of the Crank-Nicolson scheme for solving backward stochastic differential equations (Q2865649)

The authors present error estimates of a special \(\theta\)-scheme, the Crank-Nicolson scheme, for numerically solving the backward stochastic differential equation with a general generator NEWLINE\[NEWLINE-dy_t=f(t,y_t,z_t)dt-z_tdW_t.NEWLINE\]NEWLINE The main result is that under some reasonable regularity conditions on the function \(\phi\) in the terminal condition and the function \(f,\) the scheme is second-order accurate for solving both \(y_t\) and \(z_t\) when the errors are measured in the \(L^p\) \((p\geq 1)\) norm. It is very useful in the numerical analysis of backward stochastic differential equations.