Linear Multistep Schemes for BSDEs

Runge–Kutta schemes for backward stochastic differential equations

(2014) Jean-François Chassagneux et al.   ANNALS OF APPLIED PROBABILITY

Second order discretization of backward SDEs and simulation with the cubature method

(2014) Dan Crisan et al.   ANNALS OF APPLIED PROBABILITY

A generalized $\theta$-scheme for solving backward stochastic differential equations

(2012) Guannan Zhang et al.   DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B

Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

(2012) D. Crisan et al.   SIAM Journal on Financial Mathematics

Numerical simulation of BSDEs with drivers of quadratic growth

(2011) Adrien Richou   ANNALS OF APPLIED PROBABILITY

A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

(2010) Weidong Zhao et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights

(2010) D. Crisan et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Error estimates of the $\theta$-scheme for backward stochastic differential equations

(2009) Weidong Zhao et al.   DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B

Discrete-time approximation of decoupled Forward–Backward SDE with jumps

(2007) Bruno Bouchard et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS