Abstract
In this paper, we study L p -error estimates for a scheme proposed by Zhao et al. (2006) for solving the backward stochastic differential equations − d y t = f ( t , y t ) d t − z t d W t . We prove that this scheme is of second-order convergence for solving for y t and of first-order convergence for solving for z t in L p norm. And we also prove that the Crank–Nicolson scheme proposed by Wang et al. (2009) is second-order convergent for solving for both y t and z t in L p norm.
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