A multi-step scheme based on cubic spline for solving backward stochastic differential equations

@article{Teng2018AMS,
  title={A multi-step scheme based on cubic spline for solving backward stochastic differential equations},
  author={Long Teng and Aleksandr Lapitckii and Michael Gunther},
  journal={arXiv: Numerical Analysis},
  year={2018}
}
In this work we study a multi-step scheme on time-space grids proposed by W. Zhao et al. [28] for solving backward stochastic differential equations, where Lagrange interpolating polynomials are used to approximate the time-integrands with given values of these integrands at chosen multiple time levels. For a better stability and the admission of more time levels we investigate the application of spline instead of Lagrange interpolating polynomials to approximate the time-integrands. The… 
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