@Article{IJNAM-22-777,
author = {Tang , Xiao and Xiong , Jie},
title = {A Class of Runge-Kutta Methods for Backward Stochastic Differential Equations},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2025},
volume = {22},
number = {6},
pages = {777--800},
abstract = {<p style="text-align: justify;">In this paper, we introduce a class of Runge-Kutta (RK) methods for backward
stochastic differential equations (BSDEs). The convergence rate is studied and the corresponding
order conditions are obtained. For the conditional expectations involved in the methods, we design
an approximation algorithm by combining the characteristics of the methods and replacing the
increments of Brownian motion with appropriate discrete random variables. An important feature
of our approximation algorithm is that interpolation operations can be avoided. The numerical
results of four examples are presented to show that our RK methods provide a good approach for
solving the BSDEs.</p>},
issn = {2617-8710},
doi = {https://doi.org/10.4208/ijnam2025-1034},
url = {http://global-sci.org/intro/article_detail/ijnam/24293.html}
}