A novel second order scheme with one step for forward backward stochastic differential equations
<|reference_start|>A novel second order scheme with one step for forward backward stochastic differential equations: In this paper, we present a novel explicit second order scheme with one step for solving the forward backward stochastic differential equations, with the Crank-Nicolson method as a specific instance within our proposed framework. We first present a rigorous stability result, followed by precise error estimates that confirm the proposed novel scheme achieves second-order convergence. The theoretical results for the proposed methods are supported by numerical experiments.<|reference_end|>
@article{han2024a,
    title={A novel second order scheme with one step for forward backward
  stochastic differential equations},
    author={Qiang Han, Shihao Lan and Quanxin Zhu},
    journal={arXiv preprint arXiv:2409.07118},
    year={2024},
    archivePrefix={arXiv},
    eprint={2409.07118},
    primaryClass={math.NA cs.NA}
}