High Accurate theta-Scheme for Solving BSDEs

In this paper, we propose a new kind of numerical method for backward stochastic differential equation (BSDEs in short ), the idea of our method came from high-order numerical method for solving Partial differential equation (PDE). Bases on the properties of BSDEs, we fully discretize the time-space continuous problems, and use Monte Carlo method to approximate the mathematical expectation in our method. The space interpolation is used when the values at non-grid points are needed. In section 6, we use our method to solve a representative BSDEs mode, and the results show that our method is efficient and is of high order.