Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations

DOI10.4208/IJNAM2024-1011MaRDI QIDQ6565281zbMATH OpenFDO

Authors Yafei Xu, Weidong Zhao

Publication date 1 July 2024

Published in International Journal of Numerical Analysis and Modeling (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationsCrank-Nicolson schemeRichardson extrapolationAdomian decompositionasymptotic error expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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Cited in

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• Richardson extrapolation of the Euler scheme for backward stochastic differential equations

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