TY - JOUR
T1 - Splitting Schemes for Backward Stochastic Differential Equations
AU - Zheng , Luying
AU - Zhao , Weidong
JO - International Journal of Numerical Analysis and Modeling
VL - 4
SP - 585
EP - 602
PY - 2025
DA - 2025/04
SN - 22
DO - http://doi.org/10.4208/ijnam2025-1025
UR - https://global-sci.org/intro/article_detail/ijnam/24041.html
KW - Backward stochastic differential equations, splitting method, splitting scheme, error estimate.
AB - <p style="text-align: justify;">This paper concerns splitting methods for solving backward stochastic differential
equations (BSDEs). By splitting the original $d$-dimensional BSDE into $d$ BSDEs and approximating these split BSDEs, we propose splitting schemes for the BSDE. The splitting schemes are
rigorously analyzed and first-order error estimates are theoretically obtained. Numerical tests are
given to verify the theoretical results.</p>