A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

In this paper, we propose a new kind of numerical simulation method for backward stochastic differential equations (BSDEs). We discretize the continuous BSDEs on time-space discrete grids, use the Monte Carlo method to approximate mathematical expectations, and use space interpolations to compute values at non-grid points. To demonstrate the accuracy and the effectiveness of our method, several numerical examples are given.

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