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Volume 22, Issue 4
Splitting Schemes for Backward Stochastic Differential Equations

Luying Zheng & Weidong Zhao

DOI: 10.4208/ijnam2025-1025

Int. J. Numer. Anal. Mod., 22 (2025), pp. 585-602.

Published online: 2025-04

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  • Abstract

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.

  • Keywords

Backward stochastic differential equations, splitting method, splitting scheme, error estimate.

  • AMS Subject Headings

65C30, 60H10, 60H35

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{IJNAM-22-585, author = {Zheng , Luying and Zhao , Weidong}, title = {Splitting Schemes for Backward Stochastic Differential Equations}, journal = {International Journal of Numerical Analysis and Modeling}, year = {2025}, volume = {22}, number = {4}, pages = {585--602}, abstract = {

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.

}, issn = {2617-8710}, doi = {https://doi.org/10.4208/ijnam2025-1025}, url = {http://global-sci.org/intro/article_detail/ijnam/24041.html} }
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 -

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.

Zheng , Luying and Zhao , Weidong. (2025). Splitting Schemes for Backward Stochastic Differential Equations. International Journal of Numerical Analysis and Modeling. 22 (4). 585-602. doi:10.4208/ijnam2025-1025
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